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Under the Microscope: The Structure of the Foreign Exchange Market
Michael J. Sager a and Mark P. Taylorb†

Putnam Investments and University of Warwick.

University of Warwick and Centre for Economic Policy Research.

April 2005

Abstract
We provide a detailed, up-to-date description of the microstructure of
the foreign exchange market and of the behaviour of participant groups.
In the light of this, we highlight shortcomings in existing theoretical models
of market interaction and present an outline alternative model that
marries theoretical prediction and current market practice.
Keywords: Foreign exchange market; microstructure; order flow.
JEL Classification: F31

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