| 来源类型 | Working Paper |
| 规范类型 | 报告 |
| DOI | 10.3386/t0179 |
| 来源ID | Technical Working Paper 0179 |
| One Day in June, 1994: A Study of the Working of Reuters 2000-2 Electronic Foreign Exchange Trading System | |
| Charles Goodhart; Takatoshi Ito; Richard Payne | |
| 发表日期 | 1995-04-01 |
| 出版年 | 1995 |
| 语种 | 英语 |
| 摘要 | The paper utilized foreign exchange data (bid, ask and transaction prices and quantities) collected from the screen of the electronic broking system (Reuter D2000-2) on June 16, 1993. The bid and ask quotes, which are `firm' in this data set, are compared with the Reuters FXFX page, which reports only indicative bid and ask prices. A caution is necessary due to its small samples (7 hours). The paper finds that although the bid-ask mean of indicative quotes is similar to that of `firm' quotes, the behavior of bid-ask spread and the frequency of quote entry are quite different in the two kinds of quotes. The bid-ask spreads in the broking system are much more time- variant and dependent on the frequency of trade, while the indicative bid-ask spreads tend to cluster at round numbers. |
| 主题 | International Economics ; International Finance ; Financial Economics ; Financial Institutions |
| URL | https://www.nber.org/papers/t0179 |
| 来源智库 | National Bureau of Economic Research (United States) |
| 引用统计 | |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/562511 |
| 推荐引用方式 GB/T 7714 | Charles Goodhart,Takatoshi Ito,Richard Payne. One Day in June, 1994: A Study of the Working of Reuters 2000-2 Electronic Foreign Exchange Trading System. 1995. |
| 条目包含的文件 | ||||||
| 文件名称/大小 | 资源类型 | 版本类型 | 开放类型 | 使用许可 | ||
| t0179.pdf（2893KB） | 智库出版物 | 限制开放 | CC BY-NC-SA | 浏览 | ||
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