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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 … Continue reading

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