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Price impacts of deals and predictability of the exchange rate movements

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Price impacts of deals and predictability of the exchange rate movements

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Intra-day seasonality in activities of the foreign exchange markets : evidence from the electronic broking system

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Price Impacts of Deals and Predictability of the Exchange Rate Movements

Ito, Takatoshi - 2010

This paper examines the price impact and the predictability of the exchange rate movement using the transaction data recorded in the electronic broking system of the spot foreign exchange market. The number of actual deals at the ask (or bid side) for a specified time interval may be regarded as...

Persistent link: https://www.econbiz.de/10012760548