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Foreign Exchange Market Structure, Players and Evolution

King, Michael R. - 2011

Electronic trading has transformed foreign exchange markets over the past decade, and the pace of innovation only accelerates. This formerly opaque market is now fairly transparent and transaction costs are only a fraction of their former level. Entirely new agents have joined the fray,...

Persistent link: https://www.econbiz.de/10013119942

Liquidity Comovement in the Foreign Exchange Market

Kaul, Aditya - 2013

Studying major currencies versus the U.S. Dollar, this paper makes two contributions. First, we document strong comovement in both intraday and daily currency spreads. We also show that currency spreads co-move with aggregate U.S. equity market spreads. Thus, comovement in liquidity is even more...

Persistent link: https://www.econbiz.de/10013092493

Economic Momentum and Currency Returns

Dahlquist, Magnus - 2019

Past trends in fundamentals linked to economic activity and inflation predict currency returns. We find that a trading strategy that goes long currencies with strong economic momentum and short currencies with weak economic momentum exhibits an annualized Sharpe ratio of 0.70 and yields a...

Persistent link: https://www.econbiz.de/10012904397

A Low-Risk Strategy Based on Higher Moments in Currency Markets

Zunft, Claudia - 2016

This paper is first to establish profound evidence on the existence of a low-risk anomaly in currency markets. In particular, I discover a novel strategy in currency forward markets that is long in currencies whose higher return moments are low relative to past levels and short in currencies...

Persistent link: https://www.econbiz.de/10013003415

Dynamic Expectation Formation in the Foreign Exchange Market

ter Ellen, Saskia - 2016

This paper investigates the time-varying nature of expectation formation rules for institutional investors in the foreign exchange market. Using a unique dataset of survey expectations for four exchange rates, we first distinguish three different general rules. We find a momentum rule, a...

Persistent link: https://www.econbiz.de/10013008628

Differences of Opinion and Foreign Exchange Markets

Osambela, Emilio - 2016

This article develops a two-country, two-good international financial market model in which domestic and foreign residents differ in their beliefs about the future output growth rates in each country. Endogenous differences of opinion generate an equilibrium international sentiment risk world...

Persistent link: https://www.econbiz.de/10013008743

Wave Function Method to Forecast Foreign Currencies Exchange Rates at Ultra High Frequency Electronic Trading in Foreign Currencies Exchange Markets

Ledenyov, Dimitri - 2015

exchange rates dynamics in the foreign currencies exchange markets in the classic finances theory; 3) the description on the … theory; 4) the derivation of the time dependent/time independent wave equation in the quantum finances theory; 5) the …/time independent wave equation in the quantum finances theory; 6) the discussion on the developed software program with the embedded …

Persistent link: https://www.econbiz.de/10013013057

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

International Parity Condition

Ogbu, Emmanuel idu - 2018

theory …

Persistent link: https://www.econbiz.de/10012929226

Dollar dominance in FX trading

Somogyi, Fabricius - 2022 - This version: 1 February 2022

Over 85% of all foreign exchange (FX) transactions involve the US dollar. I show that the US dollar dominates FX trading volume because of strategic avoidance of price impact. To demonstrate this, I leverage the fact that non-dollar currency pairs can be traded indirectly by using the US dollar...

Persistent link: https://www.econbiz.de/10012815985