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Microstructure of Foreign Exchange Markets

descriptionPublicationkeyboard_double_arrow_right Article , Part of book or chapter of book , Other literature type , Research 01 Jan 2019 Norway English Publisher:Elsevier BVJournal:SSRN Electronic Journal (eissn: 1556-5068,

Authors: Evans, Martin D.D.; Rime, Dagfinn;

doi: 10.2139/ssrn.3345289 , 10.1093/acrefore/9780190625979.013.318

handle: 11250/2594139 , 10419/210154

Microstructure of Foreign Exchange Markets

- Summary
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Abstract

An overview of research on the microstructure of foreign exchange (FX) markets is presented. We begin by summarizing the institutional features of FX trading and describe how they have evolved since the 1980s. We then explain how these features are represented in microstructure models of FX trading. Next, we describe the links between microstructure and traditional macro exchange-rate models and summarize how these links have been explored in recent empirical research. Finally, we provide a microstructure perspective on two recent areas of interest in exchange-rate economics: the behavior of returns on currency portfolios, and questions of competition and regulation.

Country

Norway

Related Organizations

Keywords

exchange-rate dynamics, liquidity, VDP::Samfunnsvitenskap: 200::Økonomi: 210::Samfunnsøkonomi: 212, ddc:330, microstructure, F4, F3, G1, JEL: F4, JEL: F3, electronic trading, order flows, JEL: G1

Impact byBIP!

	citations This is an alternative to the "Influence" indicator, which also reflects the overall/total impact of an article in the research community at large, based on the underlying citation network (diachronically).	4
	popularity This indicator reflects the "current" impact/attention (the "hype") of an article in the research community at large, based on the underlying citation network.	Top 10%
	influence This indicator reflects the overall/total impact of an article in the research community at large, based on the underlying citation network (diachronically).	Average
	impulse This indicator reflects the initial momentum of an article directly after its publication, based on the underlying citation network.	Average