Customer Trading in the Foreign Exchange Market : Empirical Evidence from an Internet Trading Platform
Customer Trading in the Foreign Exchange Market : Empirical Evidence from an Internet Trading Platform
Date
2007
Authors
Lechner, Sandra
Nolte, Ingmar
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Series
CoFE-Diskussionspapiere / Zentrum für Finanzen und Ökonometrie; 2007/03
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Working Paper/Technical Report
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Abstract
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.
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Subject (DDC)
330 Economics
Keywords
Customer Dataset,Order Flow,Price Changes,Foreign Exchange Market
Conference
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ISO 690
LECHNER, Sandra, Ingmar NOLTE, 2007. Customer Trading in the Foreign Exchange Market : Empirical Evidence from an Internet Trading PlatformBibTex
@techreport{Lechner2007Custo-11927,
year={2007},
series={CoFE-Diskussionspapiere / Zentrum für Finanzen und Ökonometrie},
title={Customer Trading in the Foreign Exchange Market : Empirical Evidence from an Internet Trading Platform},
number={2007/03},
author={Lechner, Sandra and Nolte, Ingmar}
}
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