Informed traders' arrival in foreign exchange markets: Does geography matter?

Ramazan Gencay, Nikola Gradojevic, Richard Olsen and Faruk Selcuk

Post-Print from HAL

Abstract: This article critically investigates the possibility that private information offering systematic profit opportunities exists in the spot foreign exchange market. Using a unique dataset with trader-specific limit and market order histories for more than 10,000 traders, we detect transaction behavior consistent with the informed trading hypothesis, where traders consistently make money. We then work within the theoretical framework of a high-frequency version of a structural microstructure trade model, which directly measures the market maker's beliefs. Both the estimates of the trade model parameters and our model-free analysis of the data suggest that the time-varying pattern of the probability of informed trading is rooted in the strategic arrival of informed traders on a particular day-of-week, hour-of-day, or geographic location (market).

Keywords: Foreign exchange markets; Volume Informed trading; Noise trading (search for similar items in EconPapers)
Date: 2015-02
References: Add references at CitEc
Citations: View citations in EconPapers (2)

Published in Empirical Economics, 2015, 49 (4), pp.1431--1462. ⟨10.1007/s00181-015-0917-z⟩

There are no downloads for this item, see the EconPapers FAQ for hints about obtaining it.

Related works:
Journal Article: Informed traders’ arrival in foreign exchange markets: Does geography matter? (2015)
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:hal:journl:hal-01563055

DOI: 10.1007/s00181-015-0917-z

Access Statistics for this paper

More papers in Post-Print from HAL
Bibliographic data for series maintained by CCSD ().