We study the tightness of the complete electronic interbank foreign exchange market for the HUF/ EUR over a two year period. First, we review the cost components that a liquidity provider on this type of market faces, and integrate them in an empirical spread decomposition model. Second, we...

We study intraday jumps on a pure limit order FX market by linking them to news announcements and liquidity shocks. First, we show that jumps are frequent and contribute greatly to the return volatility. Nearly half of the jumps can be linked with scheduled and unscheduled news announcements....

We apply the spread decomposition model by Huang and Stoll (1997) to a new dataset on the Hungarian Forint/Euro interbank market. In contrast to previous results we cover a minor market over a long time span. We find a significant inventory effect, which can be explained by the low number of...