Abstract

seminars for helpful comments and suggestions. We are very grateful to Gareth Berry, Geoffrey Kendrick and UBS for providing us with the proprietary data used in this study, and for numerous conversations on the institutional details of foreign exchange trading at UBS. Sarno acknowledges financial support from the Economic and Social Research Council (No. RES-062-23-2340) and Menkhoff and Schmeling gratefully acknowledge financial support by the German Research Foundation (DFG). The views expressed in this paper are those of the authors and do not necessarily reflect those of the Bank for International Settlements

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