Search Results - subject:"Customer order flow"

Profiting from Mimicking Strategies in Non-Anonymous Markets

Vasios, Michalis; Payne, Richard; Nolte, Ingmar - Volkswirtschaftliche Fakultät, … - 2015

We explore the information content of counterparty identities and how their disclosure can be exploited by other investors in a post-trade transparent market. Using data from the Helsinki Stock Exchange, we form dynamic mean-variance strategies with daily rebalancing which condition on the net...

Persistent link: https://www.econbiz.de/10011145367

An investigation of customer order flow in the foreign exchange market

cerrato, mario; Sarantis, Nicholas; Saunders, Alex - Department of Economics, Adam Smith Business School - 2009

1 AN INVESTIGATION OF CUSTOMER ORDER FLOW IN THE FOREIGN EXCHANGE MARKET Mario Cerrato 12 Department of … contributions. Firstly, we investigate the extent to which customer order flow can help to explain exchange rate movements over … in the foreign exchange markets. Keywords: Customer order flow; exchange rates; microstructure; forecasting JEL …

Persistent link: https://www.econbiz.de/10005061493

Macro News, Riskfree Rates, and the Intermediary

Menkveld, Albert J.; Sarkar, Asani; van der Wel, Michel - 2007

Signed customer order flow correlates with permanent price changes in equity and nonequity markets. We exploit macro …

Persistent link: https://www.econbiz.de/10010325580

Macro news, risk-free rates, and the intermediary: Customer orders for thirty-year treasury futures

Menkveld, Albert J.; Sarkar, Asani; van der Wel, Michel - 2007

Customer order flow correlates with permanent price changes in equity and non-equity markets. We examine macro news …

Persistent link: https://www.econbiz.de/10010283480

Macro News, Riskfree Rates, and the Intermediary

Menkveld, Albert J.; Sarkar, Asani; Wel, Michel van der - Tinbergen Instituut - 2007

Signed customer order flow correlates with permanent price changes in equity and nonequity markets. We exploit macro …

Persistent link: https://www.econbiz.de/10011256900

Macro News, Riskfree Rates, and the Intermediary

Menkveld, Albert J.; Sarkar, Asani; Wel, Michel van der - Tinbergen Institute - 2007

Signed customer order flow correlates with permanent price changes in equity and nonequity markets. We exploit macro …

Persistent link: https://www.econbiz.de/10005016250

Macro news, riskfree rates, and the intermediary

Menkveld, Albert J.; Sarkar, Asani; Wel, Michel van der - 2007

Signed customer order flow correlates with permanent price changes in equity and nonequity markets. We exploit macro …

Persistent link: https://www.econbiz.de/10011373834

Customer order flow, information and liquidity on the Hungarian foreign exchange market

Gereben, Áron; Gyomai, György; Norbert Kiss M. - Magyar Nemzeti Bank (MNB) - 2006

Customer order flow – signed transaction volume between market makers and their customers – is a key concept in the … microstructure approach to exchange rates. We attempt to explore what the data tells us about the role of customer order flow in the … that customer order flow helps to explain exchange rate fluctuations, which suggests that customer order flow is a key …

Persistent link: https://www.econbiz.de/10005146778

Customer order flow, information and liquidity on the Hungarian foreign exchange market

Gereben, Áron; Gyomai, György; Kiss M., Nobert - 2006

Customer order flow - signed transaction volume between market makers and their customers - is a key concept in the … microstructure approach to exchange rates. We attempt to explore what the data tells us about the role of customer order flow in the … that customer order flow helps to explain exchange rate fluctuations, which suggests that customer order flow is a key …

Persistent link: https://www.econbiz.de/10010322425