Price Discovery via Limit Order in FX Market

2020 ◽  
Author(s):  
Yoshihiro Kitamura
Keyword(s):  
Price Discovery ◽  
Limit Order ◽  
Fx Market

Price Discovery and Transmission Mechanism between CDS and FX markets

2011 ◽  
Vol 19 (1) ◽  
pp. 37-58
Author(s):  
Hong Bae Kim ◽  
Sang Hoon Kang
Keyword(s):  
Financial Crisis ◽  
Trading Volume ◽  
Price Discovery ◽  
Global Financial Crisis ◽  
Credit Default Swap ◽  
Spillover Effects ◽  
Reverse Direction ◽  
Volatility Transmission ◽  
The Global Financial Crisis ◽  
Fx Market

This study investigated the relationship between the CDS (credit default swap) market with the FX spot (FX swap) market, including the period of recent global financial crisis. A measure for market efficiency is the condition that the derivative markets dominate the asset market in price discovery. In our case, however, FX market should be leading the CDS market. We found FX (spot and Derivatives) market has co-integration relationship with CDS market. Looking at Gonzalo Granger (GG) and Hasbrouck's price discovery measure, we found the FX spot and derivatives market dominated CDS market in price discovery. This study has also examined the direction of shock spillover and volatility transmission between Korean CDS spread and Foreign exchange spot (FX swap) markets using the VECM bivariate GARCH approach. Our evidence suggested the presence of bi-directional shock volatility and volatility transmission between the CDS market and FX spot market partially exist. However, volatility spillover effects from CDS market to FX Swap market are stronger than in the reverse direction during the global financial crisis, indicating that the CDS spread signaling sovereign risk play a more important role in influencing the volatility of FX derivatives market. There are some particular features in FX market. The volatility and shock of CIP deviations reflecting arbitrage opportunities in FX swap market are influenced by those of CDS spread in tranquil period prior to Lehman failure. But after Lehman failure CDS played a crucial role in signaling credit risk in FX derivatives market. We found that higher liquidity and trading volume of market matters more in price discovery and information transmission.

Public information arrival: Price discovery and liquidity in electronic limit order markets

2013 ◽  
Vol 37 (4) ◽  
pp. 1148-1159 ◽  
Author(s):  
Ryan Riordan ◽  
Andreas Storkenmaier ◽  
Martin Wagener ◽  
S. Sarah Zhang
Keyword(s):  
Price Discovery ◽  
Public Information ◽  
Limit Order ◽  
Limit Order Markets

scholarly journals Price Discovery of a Speculative Asset: Evidence from a Bitcoin Exchange

2019 ◽  
Vol 12 (4) ◽  
pp. 164 ◽  
Author(s):  
Eric Ghysels ◽  
Giang Nguyen
Keyword(s):  
Price Discovery ◽  
Theoretical Models ◽  
Secondary Market ◽  
Market Liquidity ◽  
Order Book ◽  
Limit Order ◽  
Limit Order Markets ◽  
High Volatility ◽  
Speculative Trading ◽  
High Level

We examine price discovery and liquidity provision in the secondary market for bitcoin—an asset with a high level of speculative trading. Based on BTC-e’s full limit order book over the 2013–2014 period, we find that order informativeness increases with order aggressiveness within the first 10 tiers, but that this pattern reverses in outer tiers. In a high volatility environment, aggressive orders seem to be more attractive to informed agents, but market liquidity migrates outward in response to the information asymmetry. We also find support to the Markovian learning assumption often made in theoretical models of limit order markets.

COMMENTARY: A Retrospective Look: Phantom Liquidity and High-Frequency Quoting

2018 ◽  
Keyword(s):  
High Frequency ◽  
Lower Cost ◽  
Price Discovery ◽  
High Frequency Trading ◽  
Limit Order ◽  
Market Participants ◽  
Liquidity Provision

In this paper we take a retrospective look at our paper “Phantom Liquidity and High-Frequency Quoting” and discuss the context of the research in light of our broader inquiry into the nature of the high-frequency trading industry. The data presented in this paper appear to show that limit order cancellations of high-frequency traders are associated with price discovery and liquidity provision, rather than some manner of systematic taking advantage of other market participants. These firms are acting as rational, profit-seeking businesses, and we believe time has shown this view to be correct. In the years since publication, HFT has matured, and consolidated into fewer, lower-cost providers of efficiency and liquidity services, much like we would expect in any other industry.

Evidences for Price Discovery between On- and Off-shore Won/Dollar Spot, Forward and NDF FX Rate

2016 ◽  
Vol 24 (2) ◽  
pp. 339-363
Author(s):  
Ki Beom Binh ◽  
Sang-min Lee ◽  
Won Seop Lee
Keyword(s):  
Financial Markets ◽  
Exchange Rates ◽  
Price Discovery ◽  
Mutual Influence ◽  
Dollar Spot ◽  
Information Share ◽  
Global Crisis ◽  
Exchange Rate Fluctuations ◽  
Spot Exchange Rate ◽  
Fx Market

Using Hasbrouck’s (1995, 2002) information share method, we examine the mutual price discovery dynamics among Won/Dollar spot, forward, and NDF exchange rates in on- and off-shore FX markets. Our findings include : (i) During the entire period, the mutual price discovery between on-shore FX market and off-shore NDF market are significantly led by on-shore Won-Dollar spot and forward exchange rates. (ii) Within the period around the global crisis, NDF exchange rates have mutual influence on the price discovery, which is expecially greater than the any other period. The results show Won-Dollar spot exchange rate fluctuations during the global crisis are greatly affected by external factors of the international financial markets. Not only that, but off-shore NDF trading promptly reflects the price information of KRW on the factors.

Sign in / Sign up

Export Citation Format

Share Document