Staff Working Papers
This paper empirically examines how dispersions across investors beliefs influence traders order submission decisions in the foreign exchange market. Previous research has found that dispersion in traders beliefs regarding future macroeconomic announcements has a significant impact on both price dynamics and trading volume before the announcements in the foreign exchange and other financial markets.
Differences in market structures may affect the manner in which fundamental information is incorporated into prices. High levels of quote and trade transparency plus substantial quoting obligations in European government securities markets ensure that prices are informationally efficient.
Dealers trading in a limit order market must choose both the order aggressiveness and the quantity for their orders. We empirically investigate how dealers jointly make these decisions in the foreign exchange market using a unique simultaneous equations model.
A Structural Error-Correction Model of Best Prices and Depths in the Foreign Exchange Limit Order MarketTraders using the electronic limit order book in the foreign exchange market can watch the posted price and depth of the best quotes change over the day.
Most financial markets allow investors to submit both limit and market orders, but it is not always clear what affects the choice of order type.