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dc.contributor.authorNolte, Ingmaren
dc.contributor.authorNolte, Sandraen
dc.date.accessioned2010-08-11T09:12:16Z-
dc.date.available2010-08-11T09:12:16Z-
dc.date.issued2010-
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
dc.language.isoengen
dc.publisher|aVerein für Socialpolitik |cFrankfurt a. M.en
dc.relation.ispartofseries|aBeiträge zur Jahrestagung des Vereins für Socialpolitik 2010: Ökonomie der Familie - Session: Trading, Information, and Market Microstructure |xG18-V1en
dc.subject.jelG10en
dc.subject.jelF31en
dc.subject.jelC32en
dc.subject.ddc330en
dc.subject.keywordTrading Activity Dataseten
dc.subject.keywordOrder Flowen
dc.subject.keywordForeign Exchange Marketen
dc.subject.keywordMonitoring Effecten
dc.titleHow Do Individual Investors Trade?-
dc.typeConference Paperen
dc.identifier.ppn654564418en
dc.rightshttp://www.econstor.eu/dspace/Nutzungsbedingungenen

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