Optimal informed trading in the foreign exchange market

被引：1
作者：
Vitale, Paolo [1 ]
机构：
[1] Univ G DAnnunzio, Fac Econ, I-65127 Pescara, Italy
来源：
EUROPEAN JOURNAL OF FINANCE | 2012年 / 18卷 / 10期
关键词：
private information; order flow; foreign exchange microstructure; exchange rate dynamics; ORDER FLOW; RATES; RETURNS;
D O I：
10.1080/1351847X.2011.601650
中图分类号：
F8 [财政、金融];
学科分类号：
0202 ;
摘要：
We formulate a market microstructure model of exchange determination that we employ to investigate the impact of informed trading on exchange rates and on foreign exchange (FX) market conditions. With our formulation, we show how strategic informed agents influence exchange rates via both the portfolio-balance and information effects. We outline the connection which exists between the private value of information, market efficiency, liquidity and exchange rate volatility. Our model is also consistent with recent empirical research on the micro-structure of FX markets.
引用
收藏
页码：989 / 1013
页数：25
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