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The Microstructure of Currency Markets

Author

Listed:
  • Carol Osler

    (International Business School, Brandeis University)

  • Xuhang Wang

    (Graduate student, Brandeis University)

Abstract

This paper describes the structure and microeconomics of the foreign exchange market. It begins by outlining the major participants and the instruments they trade, highlighting the vast institutional changes that accompanied the emergence of electronic trading since the 1990s. It then discusses how and why order flow drives exchange rates; the economics of liquidity provision; the price discovery process; and volatility.

Suggested Citation

  • Carol Osler & Xuhang Wang, 2012. "The Microstructure of Currency Markets," Working Papers 49, Brandeis University, Department of Economics and International Business School.
    • Handle: RePEc:brd:wpaper:49
    as

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    File URL: http://www.brandeis.edu/economics/RePEc/brd/doc/Brandeis_WP49.pdf
    File Function: First version, 2012
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    References listed on IDEAS

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    Cited by:

    1. Carlos Lenczewski, 2016. "The Role of High-Frequency Traders in the Foreign Exchange Market Bid-Ask Spreads," EUSP Department of Economics Working Paper Series 2016/01, European University at St. Petersburg, Department of Economics.
    2. Carlos Lenczewski, 2016. "The Role of High-Frequency Traders in the Foreign Exchange Market Bid-Ask Spreads," EUSP Department of Economics Working Paper Series Ec-01/16, European University at St. Petersburg, Department of Economics.

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