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 investorsâ 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 Warwick Business School, Finance Group in its series Working Papers with number wp09-01.
Date of creation: 2009
Date of revision:
Other versions of this item:
- Ingmar Nolte & Sandra Lechner, 2007. "Customer Trading in the Foreign Exchange Market: Empirical Evidence from an Internet Trading Platform," CoFE Discussion Paper 07-03, Center of Finance and Econometrics, University of Konstanz.
- 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
This paper has been announced in the following NEP Reports:
- NEP-ALL-2010-02-05 (All new papers)
- NEP-ICT-2010-02-05 (Information & Communication Technologies)
- NEP-IFN-2010-02-05 (International Finance)
- NEP-MST-2010-02-05 (Market Microstructure)
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