Similar Search Results

Currency orders and exchange-rate dynamics: Explaining the success of technical analysis

Osler, C. L. - 2001

This paper provides a microstructural explanation for the success of two familiar predictions from technical analysis: 1) trends tend to be reversed at predictable support and resistance levels, and 2) trends gain momentum once predictable support and resistance levels are crossed. ; The...

Persistent link: https://www.econbiz.de/10010283357

Understanding Order Flow

Georgetown University, Department of Economics - 2005

This paper develops a model for understanding end-user order flow in the FX market. The model addresses several puzzling findings. First, the estimated price-impact of flow from different end-user segments is, dollar-for-dollar, quite different. Second, order flow from segments traditionally...

Persistent link: https://www.econbiz.de/10005396412

Extreme Returns without News: A Microstructural Explanation

Osler, Carol; Savaser, Tanseli - Economics Department, Williams College - 2008

What triggers extreme exchange-rate returns? Though news is the source of volatility in standard theoretical models, in reality volatility is often unrelated to news. This paper shows that extreme exchange-rate returns -- and, more generally, high kurtosis of returns -- are statistically...

Persistent link: https://www.econbiz.de/10005650342

Foreign Exchange Market Microstructure

Georgetown University, Department of Economics - 2005

This paper provides an overview of the recent literature on Foreign Exchange Market Microstructure. Its aim is not to …

Persistent link: https://www.econbiz.de/10005622954

Meese-Rogoff Redux: Micro-Based Exchange Rate Forecasting

Georgetown University, Department of Economics - 2005

This paper compares the true, ex-ante forecasting performance of a micro-based model against both a standard macro model and a random walk. In contrast to existing literature, which is focused on longer horizon forecasting, we examine forecasting over horizons from one day to one month (the...

Persistent link: https://www.econbiz.de/10005622961

Extreme Returns: The Case of Currencies

Osler, Carol; Savaser, Tanseli - Department of Economics, International Business School, … - 2010

This paper investigates how active price-contingent trading contributes to extreme returns even in the absence of news. Price-contingent trading, which is common across financial markets, includes algorithmic trading, technical trading, and dynamic option hedging. The paper highlights four...

Persistent link: https://www.econbiz.de/10008804157

Exchange rate determination in Jamaica: A market microstructures and macroeconomic fundamentals approach

Wright, Allan S; Craigwell, Roland C; RamjeeSingh, Diaram - Volkswirtschaftliche Fakultät, … - 2011

This paper uses hybrid models that combine economic fundamentals and micro-market variables to investigate the behaviour of US/Jamaica exchange rate. The co-integration analysis applied to post 2000 monthly data indicates, in contrast to previous studies done on Jamaica that these models give a...

Persistent link: https://www.econbiz.de/10009294916

Micro Approaches to Foreign Exchange Determination

Evans, Martin D. D.; Rime, Dagfinn - 2011

equilibrium, the traditional domain of microstructure research, and recent research that focuses on the link between currency …

Persistent link: https://www.econbiz.de/10012143770

Exchange Rates, Interest Rates and the Global Carry Trade

Evans, Martin D. D.; Rime, Dagfinn - 2017

We empirically examine how the global carry trade affects the dynamics of spot exchange rates and interest rates across 13 countries from 2000, through the world financial crisis, until the end of 2011. Our model identifies the weekly carry trade position in each currency by matching data on...

Persistent link: https://www.econbiz.de/10012143913

Microstructure of Foreign Exchange Markets

Evans, Martin D.D.; Rime, Dagfinn - 2019

This article presents an overview of research on the Microstructure of Foreign Exchange Markets. We begin by … features are represented in microstructure models of FX trading. Next, we describe the links between microstructure and … provide a microstructure perspective on two recent areas of interest in exchange-rate economics: the behavior of returns on …

Persistent link: https://www.econbiz.de/10012143943