Customer trading in the foreign exchange market empirical evidence from an internet trading platform

Arbeitspapier

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.

Object Details

• Language: Englisch

References and Relationships

• Bibliographic citation: Series: CoFE Discussion Paper ; No. 07/03

Classification and Topics

• Classification: Wirtschaft ; General Financial Markets: General (includes Measurement and Data) ; Foreign Exchange ; Multiple or Simultaneous Equation Models: Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
• Subject: Customer Dataset ; Order Flow ; Price Changes ; Foreign Exchange Market ; Devisenhandel ; Anlageverhalten ; Wechselkurs ; Erwartungstheorie ; Devisenmarkt ; Internet ; Welt

Contributors, Places and Time

• Event: Geistige Schöpfung
• (who): Lechner, Sandra ; Nolte, Ingmar
• Event: Veröffentlichung
• (who): University of Konstanz, Center of Finance and Econometrics (CoFE)
• (where): Konstanz
• (when): 2007

Further information

• Handle: http://hdl.handle.net/10419/32187
• URN: urn:nbn:de:bsz:352-opus-32402
• Last update: 10.03.2025, 11:46 AM CET