A span of continuous trades and liquidity dynamics in foreign exchange markets
利用高频外汇数据，研究连续交易序列的跨度如何影响货币流动性，发现连续交易跨度越大，市场流动性越差，买卖价差越大。
Abstract This study incorporates the spans of sequences of continuous trades and reversal trades to investigate whether the currency liquidity is varying with the span of continuous trades or reversal trades. We highlight the dependency between the span of continuous trades and the realized bid‐ask spread to explain the currency liquidity dynamics using high‐frequency foreign exchange data. Our findings show that the spans of continuous trades play an important role in determining the market liquidity because a larger span of a continuous sequence puts a drain on the market liquidity and thereby consumes the funding liquidity, eventually increasing the bid‐ask spread.