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Algorithmic Trading in the Foreign Exchange Market
出版Board of Governors of the Federal Reserve System, 2009
URLhttp://books.google.com.hk/books?id=wYxRAQAAMAAJ&hl=&source=gbs_api
註釋We study the impact that algorithmic trading, computers directly interfacing at high frequency with trading platforms, has had on price discovery and volatility in the foreign exchange market. Our dataset represents a majority of global interdealer trading in three major currency pairs in 2006 and 2007. Importantly, it contains precise observations of the size and the direction of the computer-generated and human-generated trades each minute.