The Components of Electronic Inter‐Dealer Spot FX Bid‐Ask Spreads
运用并改进了一个买卖价差分解模型，用于分析银行间即期外汇市场，发现价格聚类是理解该市场买卖价差构成的关键因素。
Abstract: This paper applies an established bid‐ask spread decomposition model to the inter‐dealer spot foreign exchange market. In addition, the paper presents and tests a modified decomposition model which is specifically adapted to the features of order‐driven markets and which is found to produce more plausible results than the original model. Price clustering is introduced as a new explanatory factor within this framework and is shown to be vitally important in understanding the composition of bid‐ask spreads in this market.