Informed Trading in an Electronic Foreign Exchange Market

Ramazan Gencay and Nikola Gradojevic

Working Paper series from Rimini Centre for Economic Analysis

Abstract: We examine a recent set of high-frequency spot EUR-USD foreign exchange transaction data from an electronic foreign exchange market. Our framework is based on a continuous time-sequential microstructure trade model that measures the market makers beliefs directly. We present evidence of the strategic arrival of informed traders on a particular day of the week, time of day and geographic location (market).

Keywords: Foreign Exchange Markets; Volume; Informed Trading; Noise Trading (search for similar items in EconPapers)
JEL-codes: F3 G0 G1 (search for similar items in EconPapers)
Date: 2009-01
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Citations: View citations in EconPapers (3)

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Persistent link: https://EconPapers.repec.org/RePEc:rim:rimwps:24_09

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