Customer trading in the foreign exchange market empirical evidence from an internet trading platform

Sandra Nolte (Lechner) and Ingmar Nolte

No 07/03, CoFE Discussion Papers from University of Konstanz, Center of Finance and Econometrics (CoFE)

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: C32 F31 G10 (search for similar items in EconPapers)
Date: 2007
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Citations: View citations in EconPapers (5)

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Persistent link: https://EconPapers.repec.org/RePEc:zbw:cofedp:0703

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