Handbook of Asian Finance

Chapter 10

Algorithm Trading in Asian Currency FX Markets

Masayuki Susai^a and Yushi Yoshida^b,    ^aNagasaki University, 4-2-1 Katafuchi, Nagasaki 850-8506, Japan,    ^bShiga University, 1-1-1 Banba, Hikone, Shiga 522-8522, Japan,    [e-mail]; [e-mail]

Abstract

We investigate a unique EBS foreign exchange dataset that provides each individual order a distinct ID number with a time stamp on entry and another time stamp on exit. Using this dataset for the Australian dollar and the Japanese yen, we measure how long an individual limit order remains in the foreign exchange markets. A large number of limit orders are canceled within a split second, which is evidence for algorithmic trading in the foreign exchange ...