This project studies three issues on pricing efficiency in the spot foreign exchange (FX)market in three years. We use the data from the Electronic Broking Services (EBS), whichserves as a major electronic broker in the spot FX trading. In the first year, the sub-projectuses the approach by Hasbrouck (1991b) to investigate, over the 24-hour trading, the pricingefficiency across four sequential geographic time-zones: Asian, Europe, Europe-U.S.overlapping, and U.S. markets. In the second year, the sub-project further investigates therelationship between liquidity and pricing efficiency. Finally, in the third year, the theme ofthe sub-project is the impact of high-frequency trading on the informational efficiency ofprices in the EBS platform.
|Effective start/end date||1/08/16 → 31/07/17|
UN Sustainable Development Goals
In 2015, UN member states agreed to 17 global Sustainable Development Goals (SDGs) to end poverty, protect the planet and ensure prosperity for all. This project contributes towards the following SDG(s):
- Price Discovery
- High-Frequency Trading
- ElectronicBroking Services (EBS)
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