TY - JOUR T1 - Impact of Trading in the Multi-Dealer Spot Foreign Exchange JF - The Journal of Trading SP - 68 LP - 75 DO - 10.3905/jot.2016.11.1.068 VL - 11 IS - 1 AU - Anatoly B. Schmidt Y1 - 2015/12/31 UR - https://pm-research.com/content/11/1/68.abstract N2 - Impact of trading in the multi-dealer spot foreign exchange market is described using a structural vector autoregressive model. The model is derived in terms of return, signed trading volume, signed order book volume, and signed insidemarket order flow. EUR/USD and EUR/JPY data samples with whole-pip pricing and decimal pip-pricing are used. The results show that market impact is determined primarily by the signed trading volume and decays on the 10-second time scale. Signed inside-market order flow may be important for currency pairs with wide bid/offer spreads. Two subtle effects, the limit order book’s push and pull, are described.TOPICS: Currency, exchanges/markets/clearinghouses ER -