Customer trading in the foreign exchange market empirical


This site is part of Thee all the data displayed here is part of the RePEc data set.Is your work missing from RePEc. Here is how tocontribute.Questions or problems. This paper analyzes the relationship between currency price changes and their expectations. Currency exchxnge change expectations are derived with the help of different order flow measures, from the trading behavior of investors on OANDA FXTrade, which wmpirical an internet trading platform in the foreign exchange market.

We investigate whether forecasts of intra-day price changes on different sampling frequencies can be improved with the information contained in the flow of our investors orders. Moreover, we verify several hypotheses on the trading behavior and the preference structure of our iAbstractThis paper analyzes the inter-temporal relationship between currency price changes and their expectations on intra-day frequencies. We examine how price expectations are transmitted into prices by means of order flow and how order flow is affected by past prices (feedback effects).

Based on a trading activity dataset from a foreign exchange electronic Compare Online Stock Broker platform, OANDA FXTrade, currency price change expectations are approximated by aggregating very detailed individual order information aiming to present an accurate picture of currency price expectations. We investigate on different intra-day sampling frequencies, whether price expectations and trading patterns of the OANDA FXTrade investors customer trading in the foreign exchange market empirical helpful for predicting future currency prices.

Moreover, considering the literature on market microstructure and behaviorial finance, we formulate several hypotheses about the relatiAbstractThis paper analyzes the inter-temporal relationship between currency price changes and their expectations on intra-day frequencies. Moreover, considering the literature on market microstructure and behaviorial finance, we formulate several hypotheses about the relati.




Customer trading in the foreign exchange market empirical

Customer trading in the foreign exchange market empirical