On the Sources of Private Information in FX Markets
On the Sources of Private Information in FX Markets
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DOI：
10.1016/j.jbankfin.2010.10.013
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发表时间：
2011-06
期刊：
影响因子：
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通讯作者：
Michael Moore;Richard Payne
中科院分区：
文献类型：
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作者：
Michael Moore;Richard Payne
我们使用交易数据和交易对手身份来研究交易商间外汇交易中的信息优势来源。在流动的美元汇率中，信息集中在交易最频繁的交易商手中，并专门从事特定汇率的活动。在交叉汇率中，从事三角套利的交易者信息最灵通。消息灵通的交易员也位于更大的交易大厅。在交叉汇率中，预测流量的能力解释了三角套利者的所有优势。在流动美元汇率中，专业交易员既可以预测订单流，也可以预测与订单流无关的汇率变化成分。
We investigate the source of information advantage in inter-dealer FX trading using data on trades and counter-party identities. In liquid dollar exchange rates, information is concentrated among dealers that trade most frequently and specialize their activity in a particular rate. In cross-rates, traders that engage in triangular arbitrage are best informed. Better-informed traders are also located on larger trading floors. In cross-rates, the ability to forecast flows explains all of the advantage of the triangular arbitrageurs. In liquid dollar rates, specialist traders can forecast both order-flow and the component of exchange rate changes that is uncorrelated with flow.