BIS researchers shine light into ‘dark’ FX markets


Despite their size and sophistication, foreign exchange markets are "fairly opaque and decentralised", according to a working paper published today by the Bank for International Settlements, which seeks to bring some transparency to the issue.

Information Flows in Dark Markets, by Lukas Menkhoff, Lucio Sarno, Maik Schmeling and Andreas Schrimpf, uses 10 years of forex trade data from Swiss bank UBS to extract information on trading strategies.

The authors find that order flows represent valuable

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