PT  - JOURNAL ARTICLE
AU  - Anatoly B. Schmidt
TI  - Impact of Trading in the Multi-Dealer Spot Foreign Exchange
AID  - 10.3905/jot.2016.11.1.068
DP  - 2015 Dec 31
TA  - The Journal of Trading
PG  - 68--75
VI  - 11
IP  - 1
4099  - https://pm-research.com/content/11/1/68.short
4100  - https://pm-research.com/content/11/1/68.full
AB  - 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