On the sources of private information in FX markets

被引：21
|
作者：
Moore, Michael J. [2 ]
Payne, Richard [1 ]
机构：
[1] Cass Business Sch, London EC1Y 8TZ, England
[2] Queens Univ Belfast, Belfast BT7 1NN, Antrim, North Ireland
来源：
JOURNAL OF BANKING & FINANCE | 2011年 / 35卷 / 05期
关键词：
Market microstructure; Exchange rates; Private information; FOREIGN-EXCHANGE MARKETS; ORDER FLOW;
D O I：
10.1016/j.jbankfin.2010.10.013
中图分类号：
F8 [财政、金融];
学科分类号：
0202 ;
摘要：
We investigate the source of information advantage in inter-dealer FX trading using data on trades and counter-party identities. In liquid dollar exchange rates, information is concentrated among dealers that trade most frequently and specialize their activity in a particular rate. In cross-rates, traders that engage in triangular arbitrage are best informed. Better-informed traders are also located on larger trading floors. In cross-rates, the ability to forecast flows explains all of the advantage of the triangular arbitrageurs. In liquid dollar rates, specialist traders can forecast both order-flow and the component of exchange rate changes that is uncorrelated with flow. (C) 2010 Elsevier B.V. All rights reserved.
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页码：1250 / 1262
页数：13
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