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Price discovery in the Italian sovereign bonds market: the role of order flow

Girardi, Alessandro; Impenna, Claudio - Banca d'Italia - 2013

This paper analyses the price discovery process and the informational role of trading in the Italian wholesale secondary markets for Treasury bonds: the B2B MTS cash and the B2C BondVision trading venues. Using daily data for a representative set of fixed rate government bonds over the period...

Persistent link: https://www.econbiz.de/10011099620

Explaining exchange rate movements: an application of the market microstructure approach on the Pakistani foreign exchange market

Jalil1, Abdul; Feridun, Mete - In: Journal of Developing Areas 44 (2010) 1, pp. 255-265

This present article aims at explaining the exchange rate movements in the Pakistani foreign exchange market using the market micro structure approach, which has not been applied to date due to the unavailability of high-frequency data on the order flow for Pakistan. The novelty of the present...

Persistent link: https://www.econbiz.de/10011213227

Equity hedging and exchange rates at the London 4p.m. fix

Melvin, Michael; Prins, John - In: Journal of Financial Markets 22 (2015) C, pp. 50-72

We test the hypothesis that hedging by international equity portfolio managers affects exchange rates—the “hedging channel of exchange rate adjustment”. A key institutional feature of the foreign exchange market, the “London 4p.m. fix”, is used to identify times when hedging trades...

Persistent link: https://www.econbiz.de/10011190078

Why is equity order flow so persistent?

Tóth, Bence; Palit, Imon; Lillo, Fabrizio; Farmer, J. Doyne - In: Journal of Economic Dynamics and Control 51 (2015) C, pp. 218-239

Order flow in equity markets is remarkably persistent in the sense that order signs (to buy or sell) are positively autocorrelated out to time lags of tens of thousands of orders, corresponding to many days. Two possible explanations are herding, corresponding to positive correlation in the...

Persistent link: https://www.econbiz.de/10011190682

The market microstructure approach to foreign exchange - Looking back and looking forward

King, Michael R.; Osler, Carol; Rime, Dagfinn - Norges Bank - 2013

Research on foreign exchange market microstructure stresses the importance of order flow, heterogeneity among agents, and private information as crucial determinants of short-run exchange rate dynamics. Microstructure researchers have produced empirically-driven models that fit the data...

Persistent link: https://www.econbiz.de/10010787782

PRICE DISCOVERY IN THE ITALIAN SOVEREIGN BONDS MARKET: THE ROLE OF ORDER FLOW

Girardi, Alessandro; Impenna, Claudio - Dipartimento di Economia e Finanza (DEF), Libera … - 2013

This paper analyses the price discovery process and the informational role of trading in the Italian wholesale secondary markets for Treasury bonds: the business-to-business (B2B), interdealer and quote driven MTS cash and the business-to-consumer (B2C), order driven BondVision trading venues....

Persistent link: https://www.econbiz.de/10010791303

Dynamic limit order market with diversity in trading horizons

van Achter, Mark - Center for Financial Studies - 2008

This paper considers a trading game in which sequentially arriving liquidity traders either opt for a market order or for a limit order. One class of traders is considered to have an extended trading horizon, implying their impatience is linked to their trading orientation. More specifically,...

Persistent link: https://www.econbiz.de/10010958569

Tick size reduction and price clustering in a FX order book

Lallouache, Mehdi; Abergel, Frédéric - In: Physica A: Statistical Mechanics and its Applications 416 (2014) C, pp. 488-498

We investigate the statistical properties of the EBS order book for the EUR/USD and USD/JPY currency pairs and the impact of a ten-fold tick size reduction on its dynamics. A large fraction of limit orders are still placed right at or halfway between the old allowed prices. This generates price...

Persistent link: https://www.econbiz.de/10010939944

Foreign exchange customers and dealers: Who’s driving whom?

Gradojevic, Nikola - In: Finance Research Letters 11 (2014) 3, pp. 213-218

This paper tests the theoretical assumption of the foreign exchange market microstructure that dealers and non-dealer customers interact over discrete trading rounds. An exhaustive frequency-domain analysis reveals that the interaction is limited and mainly due to the instability of financial...

Persistent link: https://www.econbiz.de/10010940021

Order Flows, News, and Exchange Rate Volatility

FRÖMMEL, M.; MENDE, A.; MENKHOFF, L. - Faculteit Economie en Bedrijfskunde, Universiteit Gent - 2007

) in explaining exchange rate volatility. Analyzing four months of a bank’s high frequency US dollar-euro trading, three … different kinds of order flow are used in addition to seasonal patterns in explaining volatility. We find that only larger sized … order flows from financial customers and banks – indicating informed trading – contribute to explaining volatility, whereas …

Persistent link: https://www.econbiz.de/10004983089