Customer Foreign Exchange Orders: When Timing Really Does Matter

Posted: 20 Aug 2014

See all articles by Sviatoslav Rosov

Sviatoslav Rosov

London School of Economics & Political Science (LSE) - Department of Finance

F. Douglas Foster

The University of Sydney - Discipline of Finance; Financial Research Network (FIRN)

Date Written: August 18, 2014

Abstract

This paper investigates customer foreign exchange (FX) transactions to learn if there are any groups of customers whose transactions are related to subsequent FX rate changes. We use a unique data set from an Australian commercial bank with every customer FX trade in the spot Australian Dollar/US Dollar market between 2005 and 2010. We use Monte Carlo simulation to generate benchmark expected cash flows for each individual customer. This enables us to determine whether that customer’s transaction history is well-timed and therefore potentially relevant for FX determination. We find very few customers whose transactions appear well-timed, given subsequent FX rate changes.

Keywords: customer orders, foreign exchange, information flows

Suggested Citation

Rosov, Sviatoslav and Foster, F. Douglas, Customer Foreign Exchange Orders: When Timing Really Does Matter (August 18, 2014). Australian Journal of Management, Vol. 39, 2014, Available at SSRN: https://ssrn.com/abstract=2482409

Sviatoslav Rosov (Contact Author)

London School of Economics & Political Science (LSE) - Department of Finance ( email )

London, WC2A 2AE
United Kingdom

F. Douglas Foster

The University of Sydney - Discipline of Finance ( email )

P.O. Box H58
Sydney, NSW 2006
Australia

Financial Research Network (FIRN) ( email )

C/- University of Queensland Business School
St Lucia, 4071 Brisbane
Queensland
Australia

Here is the Coronavirus
related research on SSRN

Paper statistics

Abstract Views
189
PlumX Metrics