Multiscale analysis of foreign exchange order flows and technical trading profitability

被引：20
|
作者：
Gradojevic, Nikola [1 ]
Lento, Camillo [2 ]
机构：
[1] Lille Catholic Univ, IESEG Sch Management LEM CNRS, F-59000 Lille, France
[2] Lakehead Univ, Fac Business Adm, Thunder Bay, ON P7B 5E1, Canada
来源：
ECONOMIC MODELLING | 2015年 / 47卷
关键词：
Foreign exchange markets; Order flows; Technical trading; Frequency domain; RATE DYNAMICS; LONG-RUN; MARKET; CAUSALITY;
D O I：
10.1016/j.econmod.2015.02.028
中图分类号：
F [经济];
学科分类号：
02 ;
摘要：
This paper investigates the multiscale (frequency-dependent) relationship between technical trading profitability and feedback trading effects in the Canada/U.S. dollar foreign exchange market. The results suggest that technical trading activities of financial customers drive frequent violations of the FX market microstructure assumption that exchange rate movements are driven by order flow. After controlling for transaction costs, we find that the contribution of financial customers in feedback trading dominates the contribution of non-financial customers, especially at lower frequencies. An additional, novel contribution is that technical indicators constructed from order flows can be profitable. (C) 2015 Elsevier B.V. All rights reserved.
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页码：156 / 165
页数：10
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