Informed Trading in Electronic Foreign Exchange Market

11 Pages Posted: 5 Sep 2008

See all articles by Ramazan Gencay

Ramazan Gencay

Simon Fraser University

Nikola Gradojevic

University of Guelph, Department of Economics and Finance; University of Bologna - Rimini Center for Economic Analysis (RCEA)

Date Written: September 4, 2008

Abstract

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

Suggested Citation

Gencay, Ramazan and Gradojevic, Nikola, Informed Trading in Electronic Foreign Exchange Market (September 4, 2008). Available at SSRN: https://ssrn.com/abstract=1263341 or http://dx.doi.org/10.2139/ssrn.1263341

Ramazan Gencay

Simon Fraser University ( email )

Department of Economics
8888 University Drive
Burnaby, British Columbia V5A 1S6
Canada

Nikola Gradojevic (Contact Author)

University of Guelph, Department of Economics and Finance ( email )

50 Stone Road East
Guelph, Ontario N1G 2W1
Canada

HOME PAGE: http://https://www.uoguelph.ca/economics/users/nikola-gradojevic

University of Bologna - Rimini Center for Economic Analysis (RCEA) ( email )

Via Patara, 3
Rimini (RN), RN 47900
Italy

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