Explaining Liquidity Dynamics in the Order Driven FX Spot Market

• Authors: Bień-Barkowska Katarzyna

Title variants

PL

Opis dynamiki miar płynności na kierowanym zleceniami kasowym rynku walutowym

• Languages of publication: EN

Abstracts

EN

The paper investigates the dynamics of several intraday liquidity measures for the Reuters Dealing 3000 Spot Matching System that constitutes a major order driven interbank spot market for the EUR/PLN. We derive the time-of-day and the day-of-week effects for different liquidity variables representing the shape of the limit order book. In order to capture the strong persistence exhibited by liquidity, the long memory Autoregressive Conditional Duration (ACD) models are applied. Special attention is paid to the impact of information arrival on liquidity fluctuations. We document the significant positive impact of probability of informed trading (PIN) on the price impact of trading and the bid-ask spread and the negative impact of the PIN on the liquidity supply on the ask side of the market (orders to sell euro), after controlling for the effects of other covariates such as the trading volume, volatility or previously observed returns.

PL

Przedmiotem artykułu jest badanie dynamiki wybranych miar płynności systemu transakcyjnego Reuters Dealing 3000 Spot Matching, który jest głównym, kierowanym zleceniami, międzybankowym rynkiem kasowej wymiany walutowej dla pary EUR/PLN. W artykule przedstawiono schemat wewnątrzdziennej i wewnątrztygodniowej sezonowości dla różnych miar płynności rynku obrazujących kształt arkusza zleceń. Do opisu dużej persystencji płynności wykorzystano modele Autoregresyjnego Warunkowego Czasu Trwania (Autoregressive Conditional Duration, ACD) z długą pamięcią. Szczególną uwagę poświęcono oddziaływaniu napływu nowej informacji na wahania płynności. Wykazano statystycznie istotny dodatni wpływ prawdopodobieństwa zawierania transakcji na podstawie prywatnej informacji (PIN) na wielkość zmiany ceny wywołaną pojedynczą transakcją i na wielkość spreadu bid-ask, a także ujemny wpływ na podaż płynności po stronie ask rynku (zlecenia sprzedaży euro). W badaniu uwzględniono również wpływ innych zmiennych kontrolnych, takich jak wolumen transakcji, zmienność i opóźnione stopy zwrotu.

Keywords

EN

market microstructure; order-driven market; probability of informed trading; ACD models

PL

mikrostruktura rynku; rynek kierowany zleceniami; prawdopodobieństwo zawierania transakcji na podstawie prywatnej informacji; modele ACD

• Publisher: Główny Urząd Statystyczny
• Journal: Przegląd Statystyczny
• Year: 2014
• Volume: 61
• Issue: 3
• Pages: 223-243

Contributors

author

Bień-Barkowska Katarzyna

• Szkoła Główna Handlowa w Warszawie, Instytut Ekonometrii, Madalińskiego 6/8, 02-513 Warszawa

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