Download This PaperFX Liquidity and Market Metrics: Online Appendices 1 and 2
66 Pages Posted: 13 Dec 2019
Date Written: October 25, 2019
Abstract
Online appendices for FX Liquidity and Market Metrics (https://ssrn.com/abstract=2912976 or DOI:10.2139/ssrn.2912976). Appendix 1 contains expanded tables and figures. Appendix 2 describes reconciliation and comparison of the CLS settlement data with other sources (BIS and EBS).
Keywords: foreign exchange, CLS Bank, market microstructure, liquidity, algorithmic trading
JEL Classification: F31, G12, G15, G23
Suggested Citation: Suggested Citation
Joel Hasbrouck (Contact Author)
New York University (NYU) - Department of Finance ( email )
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Richard M. Levich
New York University (NYU) - Department of Finance ( email )
Stern School of Business
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