We start by documenting large differences in bitcoin prices across exchanges located in different countries, or for different fiat currency pairs. For the most reputable exchanges, and after carefully accounting for all the transaction costs and limitations to trade, we find that costly...

I examine the profitability of three simple foreign exchange technical trading rules (moving average, momentum, and relative strength index) before, during and after the 2007-2008 global financial crisis. The overall findings reveal that these technical indicators could produce statistically...

Relative bitcoin prices, across locations and currencies, are persistent over time, with the location component accounting for more than 50 percent of the variability. Their distribution is leptokurtic, with negative skewness for fiat pairs, and a standard deviation of 4.5%. Counter- party...

We examine the role of algorithmic traders as arbitrageurs and their impact on price efficiency in the interdealer foreign exchange market. Algorithmic traders do not improve price efficiency by detecting and exploiting mis-priced currency pairs. To the contrary, algorithmic traders contribute...

We investigate the information contained in foreign exchange (FX) volume using a novel dataset from the over-the-counter market. We find volume helps predict next day currency returns and is economically valuable for currency investors. Predictability implies a stronger currency return reversal...

This paper proposes a multivariate fuzzy logic approach to boosting the profitability of technical analysis for currency trading. The approach incorporates information on underlying market volatility in addition to order-flow-based exchange-rate return forecasts. We show the superiority of our...

We examine the relation between disclosure quality and information asymmetry among market participants following an exogenous shock to macroeconomic risk. In 2015 the Swiss National Bank abruptly announced that it would abandon the longstanding minimum euro-Swiss franc exchange rate. We find...

In September 2011 new legislation allowed Hungarian households, under certain conditions, to repay their foreign-currency-denominated mortgages at preferential, predetermined exchange rates. This created an open foreign currency position of significant but uncertain size on the balance sheet of...

The offshore renminbi (CNH) exchange rate is the exchange rate of the Chinese currency transacted outside China. We study the CNH exchange rate dynamics and its links with onshore exchange rates. Using a specialized microstructure dataset, we find that CNH is significantly affected by its order...

The offshore renminbi (CNH) exchange rate is the exchange rate of the Chinese currency transacted outside China. We study the CNH exchange rate dynamics and its links with onshore exchange rates. Using a specialized microstructure dataset, we find that CNH is significantly affected by its order...