The coordination channel has been proposed as a means by which foreign exchange market intervention may be effective, in addition to the traditional portfolio balance and signaling channels. If strong and persistent misalignments of the exchange rate are caused by non-fundamental influences,...

In this paper we provide evidence for Evans and Lyons' (2005b) model of an information aggregation process in FX markets using a German bank's end-user order flow from 2002 to 2003. Though customer order flow is unambiguously the vehicle incorporating non-public information into exchange rates...

The aim of this paper is to detect periods in which two currencies can be classified as being the'same' asset. Two currencies can be treated as the same asset if their exchange rates vis-à-vis the same base currency are cointegrated with a cointegration vector that is consistent with the...

This work extends earlier survey studies on the use of technical analysis by considering flow analysis as a third form of information production. Moreover the survey covers FX dealers and also the rising fund managers. Technical analysis has gained importance over time and is now the most...

This paper provides questionnaire evidence on the role of flow analysis for professional traders and fund managers. This evidence suggests that besides fundamental information and technical analysis, the analysis of flows provides an independent third type of information for professionals. The...

This study uses two data mining methodologies: Classification and Regression Trees (C&RT) and Generalized Rule Induction (GRI) to uncover patterns among daily cash closing prices of eight currency markets. Data from 2000 through 2009 is used, with the last year held out to test the robustness of...

Most technical analysis studies are concerned with the profitability of technical trading rules and almost all of them focus exclusively on trend-following patterns. In this paper we examine a different kind of technical indicator which suggests a structural relationship between High, Low, and...

Using contract-level supervisory data, we show that dollar forward sales by non-US banks that are initiated at the end of a quarter and mature shortly after it concludes trade at higher prices and higher volumes. These effects are driven by banks with large net on-balance-sheet dollar assets...

We built the largest dataset of high-frequency exchange rates so far. Our sample covers the spot prices and order flows of 19 currency pairs over the last 15 years measured on Reuters and EBS at the thirty-second frequency. We show that common, price-based factors describe exchange rate dynamics...