MARC Record from Library of Congress

LEADER: 02212cam a22003377a 4500
001 2005615095
003 DLC
005 20050113122121.0
007 cr |||||||||||
008 050105s2004 mau sb 000 0 eng
010 $a 2005615095
040 $aDLC$cDLC$dDLC
043 $aa-ja---$an-us---$ae-uk---
050 00 $aHB1
100 1 $aItō, Takatoshi,$d1950-
245 10 $aMicrostructure of the yen/dollar foreign exchange market$h[electronic resource] :$bpatterns of intra-day activity in the electronic broking system /$cTakatoshi Ito, Yuko Hashi.
260 $aCambridge, MA :$bNational Bureau of Economic Research,$cc2004.
490 1 $aNBER working paper series ;$vworking paper 10856
538 $aSystem requirements: Adobe Acrobat Reader.
538 $aMode of access: World Wide Web.
500 $aTitle from PDF file as viewed on 1/5/2005.
530 $aAlso available in print.
504 $aIncludes bibliographical references.
520 3 $a"This paper establishes several intra-day patterns of the high-frequency exchange rate behavior, using the firm bid-ask quote, transaction of the EBS data set. First, the activity of quote and transactions is high in the beginning hours of the three major currency markets %u2013 Tokyo, London, and New York and low during the Tokyo and London lunch hours and late afternoon in New York. Second, a new observation is obtained in that activity does not increase toward the end of business hours in the three major markets, even during the closing hours of New York on Friday. Third, an average bid-ask spread is narrow (wide), when quote and deal frequencies are high (low, respectively), except the beginning hour of Tokyo (GMT 0), when the bid-ask spread is wide despite high levels of activity"--National Bureau of Economic Research web site.
650 0 $aForeign exchange market$zJapan.
650 0 $aForeign exchange market$zUnited States.
650 0 $aForeign exchange market$zGreat Britain.
710 2 $aNational Bureau of Economic Research.
700 1 $aHashimoto, Yuko.
830 0 $aWorking paper series (National Bureau of Economic Research : Online) ;$vworking paper no. 10856.
856 40 $uhttp://papers.nber.org/papers/W10856