Economics at your fingertips  

Trading with the Informed and against the Uninformed: Flows and Positioning in the Global Currency Market

Aldo Barrios, Rob Franolic, Davide Giovanardi and Michael Melvin

No 9921, CESifo Working Paper Series from CESifo

Abstract: FX trade settlement data from CLS provides the most comprehensive view of the opaque market of OTC currency trades. We use the flows of investment funds and non-financial corporates and develop trading signals where the former reflects speculative strategies, while the latter trade for liquidity needs. The implication is we trade in the direction of the funds flows and trade against large corporate flows, which should be followed by price reversals. Trading with informed flows yields positive risk-adjusted performance. Incorporating the liquidity trades signal improves risk-adjusted performance and greatly lowers the tail risk of the model.

Keywords: foreign exchange; currency flows; informed trading; currency investing (search for similar items in EconPapers)
JEL-codes: F31 G15 (search for similar items in EconPapers)
Date: 2022
New Economics Papers: this item is included in nep-ifn, nep-int and nep-mst
References: View references in EconPapers View complete reference list from CitEc

Downloads: (external link) (application/pdf)

Related works:
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:

Access Statistics for this paper

More papers in CESifo Working Paper Series from CESifo Contact information at EDIRC.
Bibliographic data for series maintained by Klaus Wohlrabe ().

Page updated 2024-04-01
Handle: RePEc:ces:ceswps:_9921