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Title:Customer trading in the foreign exchange market empirical evidence from an internet trading platform PDF Logo
Authors:Lechner, Sandra
Nolte, Ingmar
Issue Date:2007
Series/Report no.:Discussion paper series // Zentrum für Finanzen und Ökonometrie, Universität Konstanz 2007,03
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.
Subjects:Customer Dataset
Order Flow
Price Changes
Foreign Exchange Market
JEL:G10
F31
C32
Persistent Identifier of the first edition:urn:nbn:de:bsz:352-opus-32402
Document Type:Working Paper
Appears in Collections:CoFE-Diskussionspapiere, Universität Konstanz

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