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Monitoring of fast-paced electronic markets

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  • Bank for International Settlements

Abstract

Foreign exchange and other fast-paced electronic markets (FPMs) have undergone a wide range of structural changes in recent years. Trading in FPMs has become increasingly electronic and automated, significantly changing the market ecosystem. Against this background, the report explores aspects of structural change with immediate relevance for central banks' market monitoring approaches. The three key structural changes include greater speed and fragmentation of trading activity; greater concentration of liquidity provision among the largest banks and the new set of non-bank intermediaries; and the rise in volume and commoditisation of large quantities of high-frequency data on the back of greater electronification. At the same time, the market-monitoring capacities of market participants in both the public and private sector have been transformed. Central banks have striven to adapt their near-time and medium-term monitoring approaches to these changes. Monitoring needs naturally vary according to central bank mandates and how far markets have been electronified. Central banks' monitoring requirements will also naturally differ from those of the private sector.

Suggested Citation

  • Bank for International Settlements, 2017. "Monitoring of fast-paced electronic markets," Markets Committee Papers 10, Bank for International Settlements.
    • Handle: RePEc:bis:bismcp:10
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    References listed on IDEAS

    as
    1. Kim Christensen & Roel Oomen & Roberto Renò, 2016. "The Drift Burst Hypothesis," CREATES Research Papers 2016-28, Department of Economics and Business Economics, Aarhus University.
    2. Morten Bech, 2012. "FX volume during the financial crisis and now," BIS Quarterly Review, Bank for International Settlements, March.
    3. Morten Bech & Jhuvesh Sobrun, 2013. "FX market trends before, between and beyond Triennial Surveys," BIS Quarterly Review, Bank for International Settlements, December.
    4. Dagfinn Rime & Andreas Schrimpf, 2013. "The anatomy of the global FX market through the lens of the 2013 Triennial Survey," BIS Quarterly Review, Bank for International Settlements, December.
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