Jamie Walton

Jamie Walton
University College London | UCL · Department of Mathematics

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Publications (2)
Article
Full-text available
We examine the Foreign exchange (FX) spot price spreads with and without Last Look on the transaction. We assume that brokers are risk-neutral and they quote spreads so that losses to latency arbitrageurs are recovered from other traders in the FX market. These losses are reduced if the broker can reject, ex-post, loss-making trades by enforcing th...
Article
Thesis (Ph. D.)--University of London, 1997.

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