In this paper we examine the question of whether knowledge of the information contained in a limit order book helps to provide economic value in a simple trading scheme. Given the greater information content of the order book, over simple price information, it might naturally be expected that...

This paper examines the predictability of exchange rates on a transaction level basis using both past transaction prices and the structure of the order book. In contrast to the existing literature we also recognise that the trader may be subject to (Knightian) uncertainty as opposed to risk...

In this paper we test whether investors are uncertainty averse during a real-life trading process in the foreign exchange market. We do this through an agent-based model in which fundamentalist and chartist beliefs of the exchange rate are allowed to be either uncertainty neutral or uncertainty...