Paolo Santucci de Magistris (LUISS) - Brown Bag Seminar on "Liquidity in the FX market"

Speaker
 Paolo Santucci de Magistris - LUISS

Date
 Nov 27, 2018 - Time: 14:00 Polo Santa Marta, Via Cantarane 24, Sala Vaona

We provide a unified model for foreign exchange (FX), trading volume, and volatility
in a multi-currency environment. Tied by arbitrage conditions, FX rates are determined
by common information and trader-specific components generating heterogeneous
reservation prices thus inducing trading. Our model outlines new properties including
volume-volatility relationships between direct and synthetic FX rates. It also provides
a theoretical foundation for commonalities of volume, volatility, and illiquidity across
currencies and time, and an intuitive closed-form solution for the price impact measure.
Using unique (intraday) data representative for the global FX spot market, the
empirical analysis validates our theoretical predictions.
Data pubblicazione
Oct 12, 2018

Contact person
Roberto Reno'
Department
Economics