Foreign Exchange Market Microstructure: A Closer Look

9409959里昂本研究将探讨外汇市场的微观结构。这项工作包括理论和经验两个方面，每一个方面都加强了其政策相关性。该项目的理论层面将研究这些市场的微观结构之间的联系，例如个人交易者的行为和这些市场的宏观相关方面，例如远期汇率偏差。该项目的实证部分侧重于了解外汇市场如何运作。这部分研究使用了一个独特的数据集来研究市场活动的速度对价格和交易量等的影响。数据包含外汇交易商在指定时间点的报价，交易和库存头寸的信息。该研究还探讨了对外汇市场行为的理解的政策含义。 这一项目很重要，因为它有望提高我们对外汇市场如何运作的理解，而此时此刻，若干国家正处于向市场经济过渡的阶段，每个国家都在寻求更好的办法来组织决定其外汇汇率的市场。

9409959 Lyons This research will examine the microstructure of foreign exchange markets. The work includes both theoretical and empirical dimensions, each of which enhances its policy relevance. The theoretical dimensions of the project will examine the link between the microstructure of these markets, for example the behavior of individual traders and the macro-relevant aspect of these markets, for example forward exchange rate bias. The empirical part of the project focuses on understanding how foreign exchange markets work. This part of the study uses a unique data set to examine the effects of the pace of market activity on prices and quantities of trades, etc. The data contain information on quotes, trades, and inventory positions of a foreign exchange dealer at identified points in time. The study also examines the policy implications of what is understood about the behavior of foreign exchange markets. This project is important because it promises to improve our understanding of how foreign exchange markets work at a time when several countries are in transition towards market economies, and each country is seeking better ways to organize the market that sets its foreign exchange rates.