One Day in June, 1994: A Study of the Working of Reuters 2000-2 Electronic Foreign Exchange Trading System
Takatoshi Ito () and
Richard Payne ()
No 179, NBER Technical Working Papers from National Bureau of Economic Research, Inc
The paper utilized foreign exchange data (bid, ask and transaction prices and quantities) collected from the screen of the electronic broking system (Reuter D2000-2) on June 16, 1993. The bid and ask quotes, which are `firm' in this data set, are compared with the Reuters FXFX page, which reports only indicative bid and ask prices. A caution is necessary due to its small samples (7 hours). The paper finds that although the bid-ask mean of indicative quotes is similar to that of `firm' quotes, the behavior of bid-ask spread and the frequency of quote entry are quite different in the two kinds of quotes. The bid-ask spreads in the broking system are much more time- variant and dependent on the frequency of trade, while the indicative bid-ask spreads tend to cluster at round numbers.
JEL-codes: F3 G2 (search for similar items in EconPapers)
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Published as Frankel, Jeffrey A., Giampaolo Galli and Alberto Giovannini (eds.) The Microstructure of Foreign Exchange Markets. Chicago: University of Chicago Press, 1996.
Published as One Day in June 1993: A Study of the Working of the Reuters 2000-2 Electronic Foreign Exchange Trading System , Charles Goodhart, Takatoshi Ito, Richard Payne. in The Microstructure of Foreign Exchange Markets , Frankel, Galli, and Giovannini. 1996
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