Multiscale analysis of foreign exchange order flows and technical trading profitability

Nikola Gradojevic and Camillo Lento

Post-Print from HAL

Abstract: This paper investigates the multiscale (frequency-dependent) relationship between technical trading profitability and feedback trading effects in the Canada/U.S. dollar foreign exchange market. The results suggest that technical trading activities of financial customers drive frequent violations of the FX market microstructure assumption that exchange rate movements are driven by order flow. After controlling for transaction costs, we find that the contribution of financial customers in feedback trading dominates the contribution of non-financial customers, especially at lower frequencies. An additional, novel contribution is that technical indicators constructed from order flows can be profitable.

Keywords: Foreign exchange markets; Order flows; Technical trading; Frequency domain (search for similar items in EconPapers)
Date: 2015-06
References: Add references at CitEc
Citations: View citations in EconPapers (11)

Published in Economic Modelling, 2015, 47, pp.156--165. ⟨10.1016/j.econmod.2015.02.028⟩

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

Related works:
Journal Article: Multiscale analysis of foreign exchange order flows and technical trading profitability (2015)
Working Paper: Multiscale Analysis of Foreign Exchange Order Flows and Technical Trading Profitability (2013)
Working Paper: Multiscale Analysis of Foreign Exchange Order Flows and Technical Trading Profitability (2012)
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-01563053

DOI: 10.1016/j.econmod.2015.02.028

Access Statistics for this paper

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