Hedger Behavior and Its Impact on Order Flow and Exchange Rate in Foreign Exchange Markets
نویسندگان
چکیده
منابع مشابه
Time and foreign exchange markets
The definition of time is still an open question when one deals with high frequency time series. If time is simply the calendar time, prices can be modeled as continuous random processes and values resulting from transactions or given quotes are discrete samples of this underlying dynamics. On the contrary, if one takes the business time point of view, price dynamics is a discrete random proces...
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Priced level, slope, and volatility risk factors recently proposed in the finance literature help explain long-standing puzzles related to the cross-section of carry trade returns. In this paper, we examine whether the information contained in these global factors allows foreign exchange market speculators in individual currencies to successfully time the direction of their carry trades, both w...
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Article history: Received 13 November 2011 Received in revised form 28 February 2012 Accepted 1 March 2012 Available online 8 March 2012 This paper contributes to the literature on international portfolio choice in several ways. First, I generalize the model of Dunne et al. (2010) and derive order flow as the result of correlated belief changes by heterogeneous investors. This strategy delivers...
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We discuss price variations distributions in foreign exchange markets, characterizing them both in calendar and business time frameworks. The price dynamics is found to be the result of two distinct processes, a multi-variance diffusion and an error process. The presence of the latter, which dominates at short time scales, leads to indeterminacy principle in finance. Furthermore, dynamics does ...
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ژورنال
عنوان ژورنال: Procedia Economics and Finance
سال: 2015
ISSN: 2212-5671
DOI: 10.1016/s2212-5671(15)00764-9