@TechReport{dp-351,
  author        = {Osler, Carol and Mende, Alexander and Menkhoff, Lukas},
  astring       = {Carol Osler and Alexander Mende and Lukas Menkhoff},
  title         = {Price Discovery in Currency Markets},
  month         = {November},
  year          = {2006},
  pages         = {48},
  size          = {580},
  number        = {351},
  language      = {en},
  jelclass      = {F31, G14, G15},
  keywords      = {Bid-ask spread, foreign exchange, asymmetric information,
                  microstructure, price discovery, interdealer, inventory,
                  market order, limit order},
  abstract      = {This paper makes three contributions to our understanding
                  of the price discovery process in currency markets. First,
                  it provides evidence that this process cannot be the
                  familiar one based on adverse selection and customer
                  spreads, since such spreads are inversely related to a
                  trade's likely information content. Second, the paper
                  suggests three potential sources for the pattern of
                  customer spreads, two of which rely on the information
                  structure of the market. Third, the paper suggests an
                  alternative price discovery process for currencies,
                  centered on inventory management strategies in the
                  interdealer market, and provides preliminary evidence for
                  that process.}
}