Frequency domain analysis of foreign exchange order flows

Using a unique data set from the Bank of Canada, this paper presents the frequency domain analysis of a causal relationship between the Canada/US dollar exchange rate movements and currency order flows. The evidence shows that the existence as well as the direction of causality depends on the customer type, frequency, and time period.

MoreLess

Year of publication:	2012
Authors:	Gradojevic, Nikola
Published in:	Economics Letters. - Elsevier, ISSN 0165-1765. - Vol. 115.2012, 1, p. 73-76
Publisher:	Elsevier
Subject:	Foreign exchange markets \| Order flows \| Private information

More details

Type of publication:	Article
Classification:	G0 - Financial Economics. General ; G1 - General Financial Markets ; F3 - International Finance
Source:	RePEc - Research Papers in Economics

Persistent link: https://ebvufind01.dmz1.zbw.eu/10010572216