Informed traders' arrival in foreign exchange markets: Does geography matter?

Document type :

Compte-rendu et recension critique d'ouvrage

DOI :

10.1007/s00181-015-0917-z

Title :

Informed traders' arrival in foreign exchange markets: Does geography matter?

Author(s) :

Gençay, Ramazan [Auteur]
Gradojevic, Nikola [Auteur]
Lille économie management - UMR 9221 [LEM]
Olsen, Richard [Auteur]
Selçuk, Faruk [Auteur]

Journal title :

Empirical Economics

Pages :

1431--1462

Publisher :

Springer Verlag

Publication date :

2015-02

ISSN :

0377-7332

English keyword(s) :

Foreign exchange markets
Volume Informed trading
Noise trading

HAL domain(s) :

Sciences de l'Homme et Société/Gestion et management

English abstract : [en]

This article critically investigates the possibility that private information offering systematic profit opportunities exists in the spot foreign exchange market. Using a unique dataset with trader-specific limit and market ...
Show more >This article critically investigates the possibility that private information offering systematic profit opportunities exists in the spot foreign exchange market. Using a unique dataset with trader-specific limit and market order histories for more than 10,000 traders, we detect transaction behavior consistent with the informed trading hypothesis, where traders consistently make money. We then work within the theoretical framework of a high-frequency version of a structural microstructure trade model, which directly measures the market maker’s beliefs. Both the estimates of the trade model parameters and our model-free analysis of the data suggest that the time-varying pattern of the probability of informed trading is rooted in the strategic arrival of informed traders on a particular day-of-week, hour-of-day, or geographic location (market).Show less >

Language :

Anglais

Popular science :

Non

Collections :

Lille Économie Management (LEM) - UMR 9221

Source :

Harvested from HAL