Customer Trading in the Foreign Exchange Market : Empirical Evidence from an Internet Trading Platform
| Type of Publication: | Working Paper/Technical Report |
| URI (citable link): | http://nbn-resolving.de/urn:nbn:de:bsz:352-opus-32402 |
| Author: | Lechner, Sandra; Nolte, Ingmar |
| Year of publication: | 2007 |
| Series: | CoFE-Diskussionspapiere / Zentrum für Finanzen und Ökonometrie ; 2007/03 |
| Summary: |
This paper analyzes the relationship between currency price changes and their expectations. Currency price change expectations are derived with the help of different order flow measures, from the trading behavior of investors on OANDA FXTrade, which is 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 investors by investigating how past price changes affect future order flow.
|
| JEL Classification: | G10; F31; C32 |
| Subject (DDC): | 330 Economics |
| Keywords: | Customer Dataset, Order Flow, Price Changes, Foreign Exchange Market |
| Link to License: | Attribution-NonCommercial-NoDerivs 2.0 Generic |
Cite This
Files in this item
![[PDF]](/themes/Kops/images/mimes/pdf.png "PDF file"){kind=small}
LECHNER, Sandra, Ingmar NOLTE, 2007. Customer Trading in the Foreign Exchange Market : Empirical Evidence from an Internet Trading Platform
@techreport{Lechner2007Custo-11927, series={CoFE-Diskussionspapiere / Zentrum für Finanzen und Ökonometrie}, title={Customer Trading in the Foreign Exchange Market : Empirical Evidence from an Internet Trading Platform}, year={2007}, number={2007/03}, author={Lechner, Sandra and Nolte, Ingmar} }
<rdf:RDF xmlns:dcterms="http://purl.org/dc/terms/" xmlns:dc="http://purl.org/dc/elements/1.1/" xmlns:rdf="http://www.w3.org/1999/02/22-rdf-syntax-ns#" xmlns:bibo="http://purl.org/ontology/bibo/" xmlns:dspace="http://digital-repositories.org/ontologies/dspace/0.1.0#" xmlns:foaf="http://xmlns.com/foaf/0.1/" xmlns:void="http://rdfs.org/ns/void#" xmlns:xsd="http://www.w3.org/2001/XMLSchema#" > <rdf:Description rdf:about="https://kops.uni-konstanz.de/rdf/resource/123456789/11927"> <dc:language>eng</dc:language> <dcterms:rights rdf:resource="http://creativecommons.org/licenses/by-nc-nd/2.0/"/> <dcterms:issued>2007</dcterms:issued> <dc:rights>Attribution-NonCommercial-NoDerivs 2.0 Generic</dc:rights> <dc:contributor>Lechner, Sandra</dc:contributor> <dcterms:available rdf:datatype="http://www.w3.org/2001/XMLSchema#dateTime">2011-03-25T09:41:09Z</dcterms:available> <dc:contributor>Nolte, Ingmar</dc:contributor> <dcterms:title>Customer Trading in the Foreign Exchange Market : Empirical Evidence from an Internet Trading Platform</dcterms:title> <dcterms:isPartOf rdf:resource="https://kops.uni-konstanz.de/rdf/resource/123456789/46"/> <void:sparqlEndpoint rdf:resource="http://localhost/fuseki/dspace/sparql"/> <dspace:hasBitstream rdf:resource="https://kops.uni-konstanz.de/bitstream/123456789/11927/1/dp07_03.pdf"/> <dc:creator>Nolte, Ingmar</dc:creator> <bibo:uri rdf:resource="http://kops.uni-konstanz.de/handle/123456789/11927"/> <dcterms:hasPart rdf:resource="https://kops.uni-konstanz.de/bitstream/123456789/11927/1/dp07_03.pdf"/> <dcterms:abstract xml:lang="eng">This paper analyzes the relationship between currency price changes and their expectations. Currency price change expectations are derived with the help of different order flow measures, from the trading behavior of investors on OANDA FXTrade, which is 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 investors by investigating how past price changes affect future order flow.</dcterms:abstract> <dc:date rdf:datatype="http://www.w3.org/2001/XMLSchema#dateTime">2011-03-25T09:41:09Z</dc:date> <dc:creator>Lechner, Sandra</dc:creator> <foaf:homepage rdf:resource="http://localhost:8080/jspui"/> <dc:format>application/pdf</dc:format> <dspace:isPartOfCollection rdf:resource="https://kops.uni-konstanz.de/rdf/resource/123456789/46"/> </rdf:Description> </rdf:RDF>
Downloads since Oct 1, 2014 (Information about access statistics)
| dp07_03.pdf | 587 |
This item appears in the following Collection(s)
Except where otherwise noted, this item's license is described as Attribution-NonCommercial-NoDerivs 2.0 Generic
Search KOPS
Browse
My Account
