construct a measure of global liquidity risk in the foreign exchange (FX) market. Our FX liquidity measure may be seen as the … analog of the well-known Pastor–Stambaugh liquidity measure for the US stock market. We show that this measure has reasonable … properties, and that there is a strong common component in liquidity across currencies. Finally, we provide evidence that …

This paper provides a market-microstructure analysis of exchange rate dynamics in the Chinese foreign exchange market …

providers of liquidity in these markets, or by dealers perceiving that funds have different price elasticities of demand for …

period. First, we review the cost components that a liquidity provider on this type of market faces, and integrate them in an … third of the order processing costs and we also estimate the number of liquidity providers based on the risk component … selection risk increases during non-peak times, particularly because the risk that a liquidity provider will have to carry an …

We study intraday jumps on a pure limit order FX market by linking them to news announcements and liquidity shocks … are linked with news announcements or not. Prior to jumps, liquidity does not deviate from its normal level, nor do … liquidity shocks offer any predictive power for jump occurrence. Jumps emerge not as a result of unusually low liquidity but …