Market Microstructure and the Profitability of Currency Trading

被引：4
|
作者：
Osler, Carol [1 ]
机构：
[1] Brandeis Univ, Int Business Sch, Waltham, MA 02453 USA
来源：
ANNUAL REVIEW OF FINANCIAL ECONOMICS, VOL 4 | 2012年 / 4卷
关键词：
carry trade; technical analysis; skewness; liquidity; EXCHANGE-RATE DYNAMICS; TECHNICAL ANALYSIS; PRICE DISCOVERY; RULE PROFITS; ORDER FLOW; LIQUIDITY; RETURNS; ASK; SEGMENTATION; MANAGEMENT;
D O I：
10.1146/annurev-financial-110311-101726
中图分类号：
F8 [财政、金融];
学科分类号：
0202 ;
摘要：
Currency trading is a vast and highly profitable business. This review examines the profitability of two popular currency trading strategies in light of currency-market microstructure research. The carry-trade strategy involves borrowing a low-interest currency and investing the proceeds in a high-interest currency. Technical trading strategies are determined exclusively on the basis of past asset prices and trading volumes. Under the efficient markets hypothesis, neither of these approaches to speculative trading should produce excess returns. The review shows that the profitability of carry-trade investing and technical trading strategies can represent rational long-run equilibria given the structure of currency markets and the incentives and constraints faced by traders.
引用
收藏
页码：469 / 495
页数：27
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