TY  - JOUR
AU  - Lyons, Richard K.
PY  - 1995//
TI  - Tests of microstructural hypotheses in the foreign exchange market
T2  - JOFE
JO  - Journal of Financial Economics
SP  - 321
EP  - 351
VL  - 39
KW  - foreign exchange
KW  - FX
KW  - microstructure
KW  - inventory
KW  - information
AB  - Data in this paper support both the inventory-control and asymmetric-information approaches to microstructure theory. Strong evidence of an inventory-control effect on price is new. The transactions dataset chronicles a trading week of a spot foreign exchange dealer whose daily volume averages over $1 billion. In addition to controlling inventory with his own price, the dealer also lays off inventory at other dealers’ prices and through brokers. These results highlight the importance of inventory-control theory in understanding trading in this market.
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ID  - Lyons1995
ER  -