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June, 2015
- ISIDORE Id: 10670/1.037ead...
- hal: hal-01563053
- doi: 10.1016/j.econmod.2015.02.028
HALSHS : archive ouverte en Sciences de l’Homme et de la Société - notices sans texte intégral
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info:eu-repo/semantics/altIdentifier/doi/10.1016/j.econmod.2015.02.028
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Foreign exchange markets Exchange market FX marketCite this document
Nikola Gradojevic et al., « Multiscale analysis of foreign exchange order flows and technical trading profitability », HALSHS : archive ouverte en Sciences de l’Homme et de la Société - notices sans texte intégral, ID : 10.1016/j.econmod.2015.02.028
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Abstract
This paper investigates the multiscale (frequency-dependent) relationship between technical trading profitability and feedback trading effects in the Canada/U.S. dollar foreign exchange market. The results suggest that technical trading activities of financial customers drive frequent violations of the FX market microstructure assumption that exchange rate movements are driven by order flow. After controlling for transaction costs, we find that the contribution of financial customers in feedback trading dominates the contribution of non-financial customers, especially at lower frequencies. An additional, novel contribution is that technical indicators constructed from order flows can be profitable.
