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dc.contributor.authorNolte, Ingmaren_US
dc.contributor.authorNolte, Sandraen_US
dc.date.accessioned2010-08-11T09:12:16Z-
dc.date.available2010-08-11T09:12:16Z-
dc.date.issued2010en_US
dc.identifier.urihttp://hdl.handle.net/10419/37375-
dc.description.abstractThis paper examines how high-frequency trading decisions of individual investors are influenced by past price changes. Specifically, we address the question as to whether decisions to open or close a position are different when investors already hold a position compared to when they don't. Based on a unique dataset from an electronic foreign exchange trading platform, OANDA FXTrade, we find that investors' future order flow is (significantly) driven by past price movements and that these predictive patterns last up to several hours. This observation clearly shows that for high-frequency trading, investors rely on previous price movements in making future investment decisions. We provide clear evidence that market and limit orders flows are much more predictable if those orders are submitted to close an existing position than if they are used to open one. We interpret this finding as evidence for the existence of a monitoring effect, which has implications for theoretical market microstructure models and behavioral finance phenomena, such as the endowment effect.en_US
dc.language.isoengen_US
dc.publisherVerein für Socialpolitik Frankfurt a. M.en_US
dc.relation.ispartofseriesBeiträge zur Jahrestagung des Vereins für Socialpolitik 2010: Ökonomie der Familie - Session: Trading, Information, and Market Microstructure G18-V1en_US
dc.subject.jelG10en_US
dc.subject.jelF31en_US
dc.subject.jelC32en_US
dc.subject.ddc330en_US
dc.subject.keywordTrading Activity Dataseten_US
dc.subject.keywordOrder Flowen_US
dc.subject.keywordForeign Exchange Marketen_US
dc.subject.keywordMonitoring Effecten_US
dc.titleHow Do Individual Investors Trade?en_US
dc.typeConference Paperen_US
dc.identifier.ppn654564418-
dc.rightshttp://www.econstor.eu/dspace/Nutzungsbedingungen-
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