Market structure and inefficiency in the foreign exchange market
This paper investigates the intradaily operational efficiency of the U. S. foreign exchange market by conducting computer simulation experiments with market structure (the numbers of market?makers, brokers and customers). The results indicate significant operational inefficiencies which can be explained by temporary inventory imbalances inherent in a decentralized market. The results also suggest that much of this inefficiency could be alleviated through a centralization of price information.
|Date of creation:||1993|
|Publication status:||Published in Journal of International Money and Finance, v. 13, no. 2 (April 1994) pages 131-158|
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