You're reading...
EA development, Operations

Spread widening during news and low-liquidity periods

Here’s some simple plots of the EURGBP spread during the course of a day.
Initially tried to use Excel but R handles it much faster and leaner.

You can evidently see the spikes during news releases and a general increase as the liquidity drops during the Asian hours.
2012-10-07, 2012-10-14, 2012-10-21 are Sundays.


Green line is the MEDIAN.
Blue line is the MODE. (not in the R binaries base distribution)

#MODE function
statmod <- function(x) {
   z <- table(as.vector(x))
   names(z)[z == max(z)]
}
Advertisements

Discussion

No comments yet.

Leave a Reply

Fill in your details below or click an icon to log in:

WordPress.com Logo

You are commenting using your WordPress.com account. Log Out / Change )

Twitter picture

You are commenting using your Twitter account. Log Out / Change )

Facebook photo

You are commenting using your Facebook account. Log Out / Change )

Google+ photo

You are commenting using your Google+ account. Log Out / Change )

Connecting to %s

Archives

Visitors

Flag Counter
%d bloggers like this: