Informational Efficiency of Prices in the Electronic Trading of Spot Fx Markets(2/3)

Project Details

Description

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.
StatusFinished
Effective start/end date1/08/1631/07/17

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):

  • SDG 13 - Climate Action
  • SDG 17 - Partnerships for the Goals

Keywords

  • Price Discovery
  • Efficiency
  • Liquidity
  • High-Frequency Trading
  • ElectronicBroking Services (EBS)

Fingerprint

Explore the research topics touched on by this project. These labels are generated based on the underlying awards/grants. Together they form a unique fingerprint.