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

Speaker:  Paolo Santucci de Magistris - LUISS
  Tuesday, November 27, 2018 at 2:00 PM 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.

Programme Director
Roberto Renò

Publication date
October 12, 2018