Trading in FX markets is dominated by two microstructures: exchanges with market makers and OTC-markets without market makers. Using laboratory experiments we test whether the impact of a Tobin tax is different in these two market microstructures. We find that (i) in markets without market...

This study attempts to model the pricing decision of a Tunisian FX dealer for the Dollar (USD/TND) and the Euro (EUR/TND) based on the daily exchange rates. Using GMM estimation, we find evidence to support for the information and inventory effects for the USD/TND, but not for the EUR/TND. For...

We conduct an extensive examination of profitability of technical analysis in ten emerging foreign exchange markets. Studying 25988 trading strategies for emerging foreign exchange markets, we find that best rules can sometimes generate an annually mean excess return of more than 30%. Based on...

This paper provides evidence that currency spot prices are autocorrelated, which indicates that technical analysis in foreign exchange trading can and should take a leading role for analyzing expected exchange rate movements. The Augmented Dickey-Fuller test was used to test the Random Walk...

Purpose–The purpose of this study is to discover and model the asymmetry in the price volatility of financial markets, in particular the foreign exchange markets as the first underlying applications. Design/methodology/approach–The volatility of the financial market price is usually defined...

FX pricing processes are nonstationary and their frequency characteristics are time-dependent. Most do not conform to geometric Brownian motion, since they exhibit a scaling law with a Hurst exponent between zero and 0.5 and fractal dimensions between 1.5 and 2. This paper uses wavelet...

A sovereign that is issuing debt denominated in foreign currency is exposed to a mismatch between the value of its assets that can be used to serve the debt, denominated in local currency, and the value of its liability. During economic crisis, when the probability of default by the sovereign...

This paper contributes empirically to our understanding of informed traders. It analyzes traders? characteristics in an electronic limit order market via anonymous trader identities. We use six indicators of informed trading in a cross-sectional multivariate approach to identify traders with...

This paper shows how traders learn from post-trade identity disclosure in a currency limit order market. We establish that identity disclosure reveals information and show how traders react by reversing their order flow in line with the better informed. Informed traders primarily incorporate...

We sort currencies into portfolios by countries' consumption growth over the past year. The excess return of the highest-consumption-growth currency portfolio over the portfolio of lowest-consumption-growth currencies is positive on average, compensating investors for large negative returns...