研究期間：10108~10207;Using the data from the trading platform of Electronic Broking Services (EBS), which operates an electronic (order driven) broker among foreign exchange interbank transactions across the globe in major currencies, this project aims to study the information content of orders by type in the EUR-USD and USD-JPY markets. At first, we examine the subsequent return after trades to investigate whether trading profitability differs among different order types, including marketable orders, aggressive limit orders and passive limit orders. We further study the price impact of different types of orders in the EBS limit-order market, using the VAR (vector autoregression) approach of Hasbrouck (1991, 1996)
