Multiscale analysis of foreign exchange ...
Type de document :
Compte-rendu et recension critique d'ouvrage
Titre :
Multiscale analysis of foreign exchange order flows and technical trading profitability
Auteur(s) :
Titre de la revue :
Economic Modelling
Pagination :
156--165
Éditeur :
Elsevier
Date de publication :
2015-06
ISSN :
0264-9993
Mot(s)-clé(s) en anglais :
Foreign exchange markets
Order flows
Technical trading
Frequency domain
Order flows
Technical trading
Frequency domain
Discipline(s) HAL :
Sciences de l'Homme et Société/Gestion et management
Résumé en anglais : [en]
This paper investigates the multiscale (frequency-dependent) relationship between technical trading profitability and feedback trading effects in the Canada/U.S. dollar foreign exchange market. The results suggest that ...
Lire la suite >This paper investigates the multiscale (frequency-dependent) relationship between technical trading profitability and feedback trading effects in the Canada/U.S. dollar foreign exchange market. The results suggest that technical trading activities of financial customers drive frequent violations of the FX market microstructure assumption that exchange rate movements are driven by order flow. After controlling for transaction costs, we find that the contribution of financial customers in feedback trading dominates the contribution of non-financial customers, especially at lower frequencies. An additional, novel contribution is that technical indicators constructed from order flows can be profitable.Lire moins >
Lire la suite >This paper investigates the multiscale (frequency-dependent) relationship between technical trading profitability and feedback trading effects in the Canada/U.S. dollar foreign exchange market. The results suggest that technical trading activities of financial customers drive frequent violations of the FX market microstructure assumption that exchange rate movements are driven by order flow. After controlling for transaction costs, we find that the contribution of financial customers in feedback trading dominates the contribution of non-financial customers, especially at lower frequencies. An additional, novel contribution is that technical indicators constructed from order flows can be profitable.Lire moins >
Langue :
Anglais
Vulgarisation :
Non
Collections :
Source :
Fichiers
- http://www.rcea.org/RePEc/pdf/wp31_12.pdf
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