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Common Factors, Order Flows, and Exchange Rate Dynamics

Fourel, Valère - 2015

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...

Persistent link: https://www.econbiz.de/10013018659

Customer order flow, information and liquidity on the Hungarian foreign exchange market

Gereben, Áron; Gyomai, György; Kiss M., Nobert - 2006

microstructure approach to exchange rates. We attempt to explore what the data tells us about the role of customer order flow in the … market for Hungarian forint, using the standard analytical framework of the FX microstructure literature. Our results confirm … microstructure, the traditional portfolio-balance channel of exchange rate determination is also in place. …

Persistent link: https://www.econbiz.de/10010322425

The microstructure of currency markets

Evans, Martin D. D. - 2010

Persistent link: https://www.econbiz.de/10009010304

Large' vs. 'small' players: a closer look at the dynamics of speculative attacks

Bjønnes, Geir H.; Holden, Steinar; Rime, Dagfinn; … - 2009

What is the role of large players" like hedge funds and other highly leveraged institutions in speculative attacks? In recent theoretical work, large players may induce an attack by an early move, providing information to smaller agents. In contrast, many observers argue that large players are...

Persistent link: https://www.econbiz.de/10010276829

Order Flow and Exchange Rate Dynamics in Brazil

de Medeiros, Otavio Ribeiro - 2005

exchange market, using macroeconomic and market microstructure variables. The basic model was originally proposed and tested in …

Persistent link: https://www.econbiz.de/10014067862

Order Flow and Exchange Rate Co-Movement

Kleinbrod, Vincent - 2017

This paper investigates how order flows drive dynamic co-movements of exchange rates. We allow for asymmetric correlation responses to positive/negative shocks, control for structural breaks, bid-ask spreads and volatility effect of order flows, employ alternative order flow measures, and...

Persistent link: https://www.econbiz.de/10012966407

The Dynamic Interaction of Order Flows and the CAD/USD Exchange Rate

Gradojevic, Nikola - 2008

We explore the relationship between disaggregated order flow, the Canada/U.S. dollar (CAD/USD) market and U.S. macroeconomic announcements. Three types of CAD order flow and the CAD/USD are cointegrated. Financial order flow appears to contemporaneously drive the CAD/USD while commercial order...

Persistent link: https://www.econbiz.de/10012725608

Order Flow and Exchange Rate Dynamics : An Application to Emerging Markets

Marsh, Ian - 2010

The examines short-run exchange rate dynamics in an emerging market based on the recent microstructure framework of …

Persistent link: https://www.econbiz.de/10013147111

Volume and volatility in the FX-market : does it matter who you are?

Bjønnes, Geir H.; Rime, Dagfinn; Solheim, Haakon - 2002

The relationship between volume and volatility has received much attention in the the literature of financial markets. However, due to the lack of data, few results have been presented for the foreign exchange market. Further, most studies contain only aggregate series, and can not distinguish...

Persistent link: https://www.econbiz.de/10011539127

Price discovery on foreign exchange markets with differentially informed traders

Jong, Frank de; Mahieu, Ronald J.; Schotman, Peter C.; … - 1999

This paper uses Reuters exchange rate data to investigate thecontributions to the price discovery process by individual banks in theforeign exchange market. We propose multivariate time series models aswell as models in tick time to study the dynamic relations between thequotes of individual...

Persistent link: https://www.econbiz.de/10011301161