This project aims to bring together several unique data sets in order to closer analyze the conditions under which the customers trade. Such analysis requires high frequency data, with a keen eye for the micro-details of the market. The implications will however be all but micro:
(i) As the fix-scandal has unraveled, regulators has started considering alternatives for regulating the FX market, and lawyers has started preparing law-suits unparalleled in the history of the FX markets. A deep and thorough analysis of the determination of the fix-price is in urgently needed for all parties;
(ii) For the non-bank financial firms and non-financial corporations that trade for more than USD 3000 billion a day according to the latest BIS-survey, learning if the prices they trade on and the transaction cost they pay are fair prices is of obvious importance; and finally,
(iii) A deeper understanding of the customer segment of the market may inform the academic literature on the functioning of the FX market.
There are in particular three data sets that are crucial for conducting the intended projects: (i) High-frequency data on exchange rates and transactions, from late 1990s and covering several currencies, from the Reuters trading platform D2000-2. These data will be made available from the interbank market. (ii) The daily statistics collected by Norges Bank on the transactions of several aggregated customers groups in the kronemarket. (iii) High-frequency data on individual customer trades in the Swedish krone market, made available by Anna Lindahl at the Sveriges Riksbank