This paper details a solution to the absence of reliable volume weighted average price (VWAP) data in over-the-counter (OTC) foreign exchange markets. Download here. …
Day: May 1, 2019
The Case for Mid-Market Rates in Over-the-Counter FX Transaction Cost Analysis
This paper asserts that the mid-market price should be the benchmark data set against which transaction costs are measured in OTC currency markets. Download the full paper here. …