FX Liquidity and Market Metrics: Online Appendices 1 and 2

66 Pages Posted: 13 Dec 2019

See all articles by Joel Hasbrouck

Joel Hasbrouck

New York University (NYU) - Department of Finance

Richard M. Levich

New York University (NYU) - Department of Finance; National Bureau of Economic Research (NBER)

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

Hasbrouck, Joel and Levich, Richard M., FX Liquidity and Market Metrics: Online Appendices 1 and 2 (October 25, 2019). NYU Stern School of Business, Available at SSRN: https://ssrn.com/abstract=3475531 or http://dx.doi.org/10.2139/ssrn.3475531

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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National Bureau of Economic Research (NBER)

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