Empirical Analysis of the Microstructure of Electronic Over-the-Counter Foreign Exchange

Patrick Barkhordarian
Integral Development Corporation

Integral Development Corporation is a leader in electronic over-the-counter foreign exchange, a relatively large and active area in the market but not typically understood outside of the industry. We will address the structure of the bilateral trading network in foreign exchange where on one side are streaming quotes from money center banks, smaller regional banks, and alternative venues and on the other side, orders are placed by organizations with direct market access and brokers (both retail and non-retail). We will go over some of the unique challenges of over-the-counter foreign exchange and some of the initiatives currently undertaken by Integral Data Sciences including identifying liquidity mirage in the network, identifying market making patterns in quotes and detecting anomalous behavior, and quantifying market activity on micro time scales.

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