scholarly journals Macroeconomic announcements, communication and order flow on the Hungarian foreign exchange market

2011 ◽  
Vol 16 (2) ◽  
pp. 172-188 ◽  
Author(s):  
Michael Frömmel ◽  
Norbert Kiss M. ◽  
Klára Pintér
Keyword(s):  
Foreign Exchange ◽  
Foreign Exchange Market ◽  
Order Flow ◽  
Exchange Market ◽  
Macroeconomic Announcements

scholarly journals STATISTICALLY VALIDATED LEAD-LAG NETWORKS AND INVENTORY PREDICTION IN THE FOREIGN EXCHANGE MARKET

2018 ◽  
Vol 21 (08) ◽  
pp. 1850019 ◽  
Author(s):  
DAMIEN CHALLET ◽  
RÉMY CHICHEPORTICHE ◽  
MEHDI LALLOUACHE ◽  
SERGE KASSIBRAKIS
Keyword(s):  
Foreign Exchange ◽  
Random Forests ◽  
Foreign Exchange Market ◽  
Order Flow ◽  
Exchange Market ◽  
Flow Prediction ◽  
Retail Investors ◽  
Macroscopic States ◽  
Great Relevance ◽  
Transaction Price

We introduce a method to infer lead-lag networks of agents’ actions in complex systems. These networks open the way to both microscopic and macroscopic states prediction in such systems. We apply this method to trader-resolved data in the foreign exchange market. We show that these networks are remarkably persistent, which explains why and how order flow prediction is possible from trader-resolved data. In addition, if traders’ actions depend on past prices, the evolution of the average price paid by traders may also be predictable. Using random forests, we verify that the predictability of both the sign of order flow and the direction of average transaction price is strong for retail investors at an hourly time scale, which is of great relevance to brokers and order matching engines. Finally, we argue that the existence of trader lead-lag networks explains in a self-referential way why a given trader becomes active, which is in line with the fact that most trading activity has an endogenous origin.

scholarly journals An investigation of customer order flow in the foreign exchange market

2011 ◽  
Vol 35 (8) ◽  
pp. 1892-1906 ◽  
Author(s):  
Mario Cerrato ◽  
Nicholas Sarantis ◽  
Alex Saunders
Keyword(s):  
Foreign Exchange ◽  
Foreign Exchange Market ◽  
Order Flow ◽  
Exchange Market ◽  
Customer Order

Understanding Indonesia’s exchange rate behavior

2019 ◽  
Vol ahead-of-print (ahead-of-print) ◽  
Author(s):  
R. Eki Rahman
Keyword(s):  
Exchange Rate ◽  
Foreign Exchange ◽  
Foreign Exchange Market ◽  
Order Flow ◽  
Flow Data ◽  
Exchange Market ◽  
Data Set ◽  
Foreign Investors ◽  
Content Type ◽  
Rate Behavior

Purpose The main aim of this paper is to examine the mechanism of determining the exchange rate of the US dollar against the Indonesian rupiah (USD/IDR) by market players to manage the USD/IDR exchange rate stability. Thus, this study is expected to provide a better understanding of the determinants of the USD/IDR, given that the data set completely encompasses all the USD/IDR transactions in the Indonesian foreign exchange market. Order flow data used in this study cover all transactions on the USD/IDR conducted by domestic residents including both individuals and corporations and foreign investors in the Indonesian foreign exchange market. Design/methodology/approach This study covers the data set over the period January 3, 2011 to December 31, 2015, and the vector autoregression and autoregressive distributed lag models are used in examining the research questions. More particularly, in this study, the author examines whether the net total domestic individual transactions (DOVA), net total domestic corporation transactions (KOVA), net total foreign investor transactions (IOVA), Asian Dollar Index (ADXY), non-deliverable forward (NDF) for USD/IDR and Volatility Index (VIX) are statistically significant determinants of the USD/IDR exchange rate. Findings Overall, this study suggests that in the short run, lag of the USD/IDR exchange rate or inertia level, lag of the IOVA, lag of the NDF of the USD/IDR exchange rate and lag of the ADXY are statistically significant determinants of the USD/IDR. On the other hand, in the long run, DOVA, NDF and ADXY are found to be statistically significant determinants of USD/IDR. This study also found that there is a market leader and asymmetric information among market players in the Indonesian foreign exchange market, and their USD/IDR exchange rate level becomes a reference for other market players when conducting transactions with each other. Originality/value The paper is original along two lines. First, the data set used in this study is unique. It encompasses all the USD/IDR transactions in the Indonesian foreign exchange market. The order flow data used in this study cover all transactions on the USD/IDR conducted by domestic residents (includes both individuals and corporations) and foreign investors in the Indonesian foreign exchange market. Such an approach has not been used previously to study the exchange rate behavior in an emerging market. Second, there is limited knowledge on Indonesia’s exchange rate dynamics. This study fills this gap.

Currency Order Flow and Exchange Rate Determination: Empirical Evidence from the Malaysian Foreign Exchange Market

2018 ◽  
Vol 19 (4) ◽  
pp. 902-920
Author(s):  
Abolaji Daniel Anifowose ◽  
Izlin Ismail ◽  
Mohd Edil Abd Sukor
Keyword(s):  
Exchange Rate ◽  
Foreign Exchange ◽  
Foreign Exchange Market ◽  
Empirical Test ◽  
Order Flow ◽  
Exchange Market ◽  
Vector Autoregressive ◽  
Exchange Rate Dynamics ◽  
Currency Exchange ◽  
Exchange Rate Movements

This article presents empirical test results of Malaysian foreign exchange market microstructure assessment of exchange rate dynamics. We apply vector autoregressive (VAR) model to estimate the influential role of currency order flow in the determination of the currency exchange rate for the Malaysian ringgit (MYR) against the US dollar (USD). We investigate whether currency order flow captures the movements of exchange rate of MYR against USD, and how the long-term and short-term components impact the relative estimation of MYR in the international market. We, construct a measure of order flow in the Malaysian foreign exchange market to reflect the pressure of currency excess demand. Our focus is on the cumulative currency order flow and the exchange rate relationship of MYR and USD. A hybrid model of order flow and exchange rate dynamics proposed by Evans and Lyons (2002a) is applied to the Malaysian foreign exchange market (MYR/USD) to analyse a dataset of every 15-minute currency order flow and exchange rate movements from January 2010 to December 2015. Our dataset has unique features in terms of the quality of the data, extensive period and precise high frequency. Our results show that currency order flow explains an important portion of the movements in the MYR–USD exchange rate.

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