Foreign exchange markets, behavior of options volatility and bid-ask spread around macroeconomic announcements

Unlocking the secrets of exchange rate determination in Malaysia: A Game-Changing hybrid model

“…Moreover, liquidity is another prominent defining factor of the microstructure approach to determining the exchange rate [ 32 ]. In the forex market, liquidity commonly determines the different trade activities, such as trade density, bid-ask spread (spread), and transaction cost [ 33 ]. Liquidity is used to match the buyers' and sellers' currency rates.…”