Informed Trading in Electronic Foreign Exchange Market
11 Pages Posted: 5 Sep 2008
Date Written: September 4, 2008
We examine a recent high-frequency spot EUR-USD foreign exchange transaction data from an electronic foreign exchange market. Our framework is based on a continuous time sequential microstructure trade model which measures the market maker's beliefs directly. We present evidence of the strategic arrival of informed traders on a particular day-of-week, time-of-day and geographic location (market).
Keywords: Foreign Exchange Markets, Volume, Informed Trading, Noise Trading
JEL Classification: G0, G1, F3
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