English, Article, Journal or magazine article edition: Informed trading in an electronic foreign exchange market Ramazan Gencay; Nikola Gradojevic

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Bookmark: http://trove.nla.gov.au/version/25492
Physical Description
  • preprint
Language
  • English

Edition details

Title
  • Informed trading in an electronic foreign exchange market
Author
  • Ramazan Gencay
  • Nikola Gradojevic
Physical Description
  • preprint
Notes
  • We examine a recent set of high-frequency spot EUR-USD foreign exchange transaction data from an electronic foreign exchange market. Our framework is based on a continuous time-sequential microstructure trade model that measures the market makers beliefs directly. We present evidence of the strategic arrival of informed traders on a particular day of the week, time of day and geographic location (market)
  • Foreign Exchange Markets; Volume; Informed Trading; Noise Trading
  • RePEc:rim:rimwps:wp24_09
Language
  • English
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