Customer Trading in the Foreign Exchange Market: Empirical Evidence from an Internet Trading Platform
AbstractThis paper analyzes the relationship between currency price changes and their expectations. Currency price change expectations are derived with the help of different order flow measures, from the trading behavior of investors on OANDA FXTrade, which is an internet trading platform in the foreign exchange market. We investigate whether forecasts of intra-day price changes on different sampling frequencies can be improved with the information contained in the flow of our investors’ orders. Moreover, we verify several hypotheses on the trading behavior and the preference structure of our investors by investigating how past price changes affect future order flow.
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Bibliographic InfoPaper provided by Center of Finance and Econometrics, University of Konstanz in its series CoFE Discussion Paper with number 07-03.
Length: 38 pages
Date of creation: 15 Mar 2007
Date of revision:
Other versions of this item:
- Sandra Lechner & Ingmar Nolte, 2009. "Customer Trading in the Foreign Exchange Market: Empirical Evidence from an Internet Trading Platform," Working Papers wp09-01, Warwick Business School, Finance Group.
- G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
- F31 - International Economics - - International Finance - - - Foreign Exchange
- C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
This paper has been announced in the following NEP Reports:
- NEP-ALL-2007-04-28 (All new papers)
- NEP-CBA-2007-04-28 (Central Banking)
- NEP-IFN-2007-04-28 (International Finance)
- NEP-MST-2007-04-28 (Market Microstructure)
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