Measuring and explaining liquidity on an electronic limit order book: evidence from Reuters D2000-2 - CGFS conference volume No 2, part 10, October 2002
نویسنده
چکیده
The conference presentation focused on recent results on dynamic trading patterns in limit order markets, primarily foreign exchange and money markets. Clear feedbacks are observed between liquidity, volatility and volume. These results suggest that any regulatory regime for market liquidity should appreciate these feedback rules, and treat liquidity risk as endogenously determined, rather than an exogenous process.
منابع مشابه
Liquidity in a Limit Order Book Foreign Exchange Trading System
However, technological advances have recently altered the way foreign exchange dealer conduct their business. Bilateral deals still happen, although email conversations are now the norm (typically using the Reuters D2000-1 dealing system). The brokers market has also been revolutionized by the introduction of two electronic broking systems (Reuters D2000-2 and Electronic Broking Services [EBS])...
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