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Order Flow and Exchange Rate Dynamics
Evans, Martin D.D. - 1999
Macroeconomic models of nominal exchange rates perform poorly. In sample, R2 statistics as high as 10 percent are rare. Out of sample, these models are typically out-forecast by a na‹ve random walk. This paper presents a model of a new kind. Instead of relying exclusively on macroeconomic...
Persistent link: https://www.econbiz.de/10012471467
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Inventory Information
Cao, H. Henry - 2003
In a market with symmetric information about fundamentals, can information-based trade still arise? Consider bond and FX markets, where private information about nominal cash flows is generally absent, but participants are convinced that superior information exists. We analyze a class of...
Persistent link: https://www.econbiz.de/10012468804
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How Do UK-Based Foreign Exchange Dealers Think Their Market Operates?
Cheung, Yin-Wong - 2000
This paper summarises the results of a survey of UK based foreign exchange dealers conducted in 1998. It addresses topics in three main areas: The microeconomic operation of the foreign exchange market; the beliefs of dealers regarding the importance, or otherwise, of macroeconomic fundamental...
Persistent link: https://www.econbiz.de/10012471250
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Traders, Market Microstructure and Exchange Rate Dynamics
Cheung, Yin-Wong - 1999
We report findings from a survey of United States foreign exchange traders. Our results indicate that: (i) The share of customer business, versus interbank business, has remained fairly constant; (ii) The channels by which transactions take place have changed, as electronically-brokered...
Persistent link: https://www.econbiz.de/10012471365
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Foreign Exchange Order Flow as a Risk Factor
Burnside, Craig - 2020
This paper proposes a set of novel pricing factors for currency returns that are motivated by microstructure models. In so doing, we bring two strands of the exchange rate literature, namely market-microstructure and risk-based models, closer together. Our novel factors use order flow data to...
Persistent link: https://www.econbiz.de/10012481782
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Exchange Rate Fundamentals and Order Flow
Evans, Martin D. D. - 2007
We address whether transaction flows in foreign exchange markets convey fundamental information. Our GE model includes fundamental information that first manifests at the micro level and is not symmetrically observed by all agents. This produces foreign exchange transactions that play a central...
Persistent link: https://www.econbiz.de/10012465502
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Microstructure of the Yen/Dollar Foreign Exchange Market : Patterns of Intra-day Activity Revealed in the Electronic Broking System
Ito, Takatoshi - 2004
This paper establishes several intra-day patterns of the high-frequency exchange rate behavior, using the firm bid-ask quote, transaction of the EBS data set. First, the activity of quote and transactions is high in the beginning hours of the three major currency markets -- Tokyo, London, and...
Persistent link: https://www.econbiz.de/10012467833
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Tests of Microstructural Hypotheses in the Foreign Exchange Market
Lyons, Richard K. - 1993
information effect and a strong inventory-control effect, providing support for both strands of microstructure theory. The bulk of …
Persistent link: https://www.econbiz.de/10012474475
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Modeling the Impacts of Market Activity on Bid-Ask Spreads in the Option Market
Cho, Young-Hye - 1999
using transactions data. We propose a new market microstructure theory which we call derivative hedge theory, in which … volume as a measure of liquidity and supports the derivative hedge theory. Option market spreads are positively related to … spreads in the underlying market, again supporting our theory. However, option market duration does affect option market …
Persistent link: https://www.econbiz.de/10012471453
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On the Correlation Structure of Microstructure Noise : A Financial Economic Approach
Diebold, Francis X. - 2010
volatility estimation. In particular, we use market microstructure theory to derive the cross-correlation function between latent …
Persistent link: https://www.econbiz.de/10012462188