Asymmetric information risk in FX markets

Models of Fx Markets

Characterizing Asymmetric Information in International Equity Markets

This paper studies international portfolio ßows of US investors to examine the information structure of international equity markets. Based on a model of portfolio choice with both public and private information, we propose new empirical measures of trades due to private information. We show that these trades help explain the cross section of international equity returns, after controlling for ...

Asymmetric Information and Survival in Financial Markets

In the evolutionary setting for a …nancial market developed by Blume and Easley (1992), we consider an in…nitely repeated version of a model à la Grossman and Stiglitz (1980) with asymmetrically informed traders. Informed traders observe the realisation of a payo¤ relevant signal before making their portfolio decisions. Uninformed traders do not have direct access to this kind of information, b...

Origins of scaling in FX markets

Typical data sets employed by economists and financial analysts do not exceed a few hundred or thousand observations per series. However, in the last decade data sets containing tick-by-tick observations have become available. The studies of these data have turned up new and interesting facts about the pricing of assets. In this article we show that foreign exchange (FX) rate returns satisfy sc...

Periodicities of FX Markets in Intrinsic Time

This paper utilises advanced methods from Fourier Analysis in order to describe financial ultra-high frequent transaction data. The Lomb-Scargle Fourier Transform is used to take into account the irregularity in spacing in the time-domain. It provides a natural framework for the power spectra of different inhomogeneous time series processes to be easily and quickly estimated, without significan...