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The long memory of order flow in the foreign exchange spot market

Abstract:

We study the long memory of order flow for each of three liquid currency pairs on a large electronic trading platform in the foreign exchange (FX) spot market. Due to the extremely high levels of market activity on the platform, and in contrast to existing empirical studies of other markets, our data enables us to perform statistically stable estimation without needing to aggregate data from different trading days. We find strong evidence of long memory, with a Hurst exponent H≈0.7H≈0.7, for ...

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Publication status:
Published
Peer review status:
Peer reviewed

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Publisher copy:
10.1142/S2382626616500015

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Institution:
University of Oxford
Division:
MPLS
Department:
Mathematical Institute
Role:
Author
More by this author
Institution:
University of Oxford
Division:
MPLS
Department:
Mathematical Institute
Role:
Author
Publisher:
World Scientific Publishing
Journal:
Market Microstructure and Liquidity More from this journal
Volume:
2
Issue:
1
Article number:
1650001
Publication date:
2016-01-01
Acceptance date:
2016-04-15
DOI:
EISSN:
2424-8037
ISSN:
2382-6266
Keywords:
Pubs id:
pubs:518824
UUID:
uuid:c99225c8-43e2-4ef8-8879-d633039299c0
Local pid:
pubs:518824
Source identifiers:
518824
Deposit date:
2015-04-28

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