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Very interesting question. I am not an expert on the subject, however, I was able to find a collection of papers on the subject that should get you started. Here is a good and very informative paper that walks you through several tick by tick volatility estimators that seek to reduce the volatility imposed by market micro-structure: Efficient estimation of ...


I think it will also depend on the amount of the orders you will entering. In FXInside it will also depend if you are just aggregating or using a HUB, and even if you use the HUB it will depend if you are enable to "make liquidity" otherwise you will be only sending an agressive watch order waiting a market move. I don't have any number to share with you, ...


The 50 cent bid was certainly a LMT order and the exchange will not match a 50 cent bid with a 90 cent offer. And the past tense of "front run" is "frant ran".

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