Customer Trading in the Foreign Exchange Market: Empirical Evidence from an Internet Trading Platform

Ingmar Nolte () and Sandra Lechner ()
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Sandra Lechner: University of Konstanz

No 07-03, CoFE Discussion Paper from Center of Finance and Econometrics, University of Konstanz

Abstract: This paper analyzes the relationship between currency price changes and their expectations. Currency price change expectations are derived with the help of different order flow measures, from the trading behavior of investors on OANDA FXTrade, which is an internet trading platform in the foreign exchange market. We investigate whether forecasts of intra-day price changes on different sampling frequencies can be improved with the information contained in the flow of our investors’ orders. Moreover, we verify several hypotheses on the trading behavior and the preference structure of our investors by investigating how past price changes affect future order flow.

Keywords: Customer Dataset; Order Flow; Price Changes; Foreign Exchange Market (search for similar items in EconPapers)
JEL-codes: G10 F31 C32 (search for similar items in EconPapers)
New Economics Papers: this item is included in nep-cba, nep-ifn and nep-mst
Date: Written 2007-03-15
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