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Informed trading in an electronic foreign exchange market

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Author Info
Ramazan Gencay () ( Department of Economics, Simon Fraser University)
Nikola Gradojevic () ( Faculty of Business Administration, Lakehead University)

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Abstract

We examine a recent set of high-frequency spot EUR-USD foreign exchange transaction data from an electronic foreign exchange market. Our framework is based on a continuous time-sequential microstructure trade model that measures the market makers beliefs directly. We present evidence of the strategic arrival of informed traders on a particular day of the week, time of day and geographic location (market)

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File URL: http://www.rcfea.org/RePEc/pdf/wp24_09.pdf
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Publisher Info
Paper provided by Rimini Centre for Economic Analysis in its series Working Paper Series with number wp24_09.

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Date of creation: Jan 2009
Date of revision: Jan 2009
Handle: RePEc:rim:rimwps:wp24_09

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Related research
Keywords: Foreign Exchange Markets; Volume; Informed Trading; Noise Trading;

Find related papers by JEL classification:
G0 - Financial Economics - - General
G1 - Financial Economics - - General Financial Markets
F3 - International Economics - - International Finance

This paper has been announced in the following NEP Reports:

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This page was last updated on 2009-11-4.

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