The Intraday Price Dynamics Of Foreign Exchange Futures Market
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The Intraday Price Dynamics Of Foreign Exchange Futures Market
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Author : Hsiaohua Leng
language : en
Publisher:
Release Date : 1996
The Intraday Price Dynamics Of Foreign Exchange Futures Market written by Hsiaohua Leng and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 1996 with categories.
High Frequency Trading And Limit Order Book Dynamics
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Author : Ingmar Nolte
language : en
Publisher: Routledge
Release Date : 2016-04-14
High Frequency Trading And Limit Order Book Dynamics written by Ingmar Nolte and has been published by Routledge this book supported file pdf, txt, epub, kindle and other format this book has been release on 2016-04-14 with Business & Economics categories.
This book brings together the latest research in the areas of market microstructure and high-frequency finance along with new econometric methods to address critical practical issues in these areas of research. Thirteen chapters, each of which makes a valuable and significant contribution to the existing literature have been brought together, spanning a wide range of topics including information asymmetry and the information content in limit order books, high-frequency return distribution models, multivariate volatility forecasting, analysis of individual trading behaviour, the analysis of liquidity, price discovery across markets, market microstructure models and the information content of order flow. These issues are central both to the rapidly expanding practice of high frequency trading in financial markets and to the further development of the academic literature in this area. The volume will therefore be of immediate interest to practitioners and academics. This book was originally published as a special issue of European Journal of Finance.
Mastering The Currency Market Forex Strategies For High And Low Volatility Markets
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Author : Jay Norris
language : en
Publisher: McGraw Hill Professional
Release Date : 2009-12-04
Mastering The Currency Market Forex Strategies For High And Low Volatility Markets written by Jay Norris and has been published by McGraw Hill Professional this book supported file pdf, txt, epub, kindle and other format this book has been release on 2009-12-04 with Business & Economics categories.
Make Volatility and Risk Work for You with Forex Trading! “This book should be in every trader/investor’s library. As we come out of this depressed market . . . this book can be your companion, helping you avoid mistakes and enhance your trading/investment program.” —Bill M. Williams, author of Trading Chaos “Whether you’re just getting started trading the world’s most exciting financial market, or you’re looking to add to your trading edge, [the authors] have written an engaging book packed with powerful techniques that you can use right now.” —Rob Booker, trader, author, educator, and founder and host of TraderRadio.net The foreign exchange market is the largest trading market in the world, with average daily volume well into the trillions. Because the market is always characterized by high liquidity, forex traders benefit most from volatile markets—making it the ideal investment approach today and well into the future. Mastering the Currency Market is a comprehensive guide to currency and futures trading strategies and techniques for both highly volatile and nonvolatile markets. Putting to work their vast and highly diverse experience in forex trading, the authors explain how to take advantage of the many benefits of foreign exchange trading, including its low cost of entry afforded by margin, and the dynamic pricing by nature of the competitive marketplace. Mastering the Currency Market is divided into five sections covering: The basics of trading currencies Fundamental analysis of price valuation Technical analysis and trading charts Trading philosophy and psychological discipline Volatility and risk management With four decades of combined experience, the authors clearly communicate to you a trading method that will give you the confidence to both analyze markets and execute trades successfully, regardless of underlying market conditions. As 2008 introduced nightmare scenarios for investors around the world, it was Al Gaskill’s most productive period of his trading career. He used the same trading methods spelled out in this book. Apply the lessons inside and you’ll see profits rise during periods of high market volatility, and when the market slows down, you can downshift to countertrending methods. It’s a win-win investing method, and Mastering the Currency Market leads you through it every step of the way.
Models Of Futures Markets
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Author : Barry Goss
language : en
Publisher: Routledge
Release Date : 2013-05-13
Models Of Futures Markets written by Barry Goss and has been published by Routledge this book supported file pdf, txt, epub, kindle and other format this book has been release on 2013-05-13 with Business & Economics categories.
This volume presents an entirely new analysis of the economics of futures markets, that will be of interest to both specialists in the area and the generalist economist seeking a new perspective. Through a combination of theoretical investigation and empirical application, three important themes are explored: the gains from futures trading and the efforts of emerging markets to reap these benefits; rationality and rival hypotheses of trader behaviour, such as noise trading; and the effect of regulatory tools on price formation.
Intraday Price Reversal Patterns In The Currency Futures Market
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Author : Joel Rentzler
language : en
Publisher:
Release Date : 2008
Intraday Price Reversal Patterns In The Currency Futures Market written by Joel Rentzler and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2008 with categories.
This paper assesses the intraday price reversal patterns of seven major currency futures contracts traded on the Chicago Mercantile Exchange over 1988-2003 after one-day returns and opening gaps. We observe significant intraday price reversal patterns in five of the seven currency futures contracts, following large price changes. We conduct additional tests in three sub-periods (1988-1992, 1993-1998 and 1999-2003) to examine the impact of the introduction of electronic trading on GLOBEX in 1992 (to assess how a near 24-hour trading session might impact the next day opening and closing futures prices) and the introduction of the Euro in 1999 (to assess its impact on price predictability in other futures markets). We find that the introduction of the GLOBEX in 1992 significantly reduced pricing errors in currency futures in the second sub-period making the currency futures markets fairly efficient. However, the introduction of the new currency, the Euro, and the disappearance of several European currencies in 1999, resulted in significant price patterns (mostly reversals and some persistence) in most of the currency futures, indicating inefficiencies in the third sub-period.
Three Essays On The Intraday Dynamics Of The Foreign Exchange Market
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Author : Siroos Khademalomoom
language : en
Publisher:
Release Date : 2016
Three Essays On The Intraday Dynamics Of The Foreign Exchange Market written by Siroos Khademalomoom and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2016 with Finance categories.
Containing three essays on the intraday dynamics of the foreign exchange market, the dissertation highlights the role of higher-moments in improving the forecasting ability of exchange rates models while contributing to the literature through the identification of new calendar anomalies in the currency market which has implications for regulators and investors.
Trading Activity And Intraday Returns In The Interest Rate Futures
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Author : Tribhuvan Puri
language : en
Publisher:
Release Date : 2003
Trading Activity And Intraday Returns In The Interest Rate Futures written by Tribhuvan Puri and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2003 with categories.
This paper studies intraday returns and variations in trading activity in the interest rate futures traded on London International Financial Futures Exchange. The intraday volume exhibits a significant asymmetric response of volume to price changes. This relationship is dynamic as the direction of asymmetry is reversed through out the trading day. Equity markets are known to exhibit an asymmetric effect, although the effect is static. The asymmetric volume-price relationship in equity market is primarily attributed to the short sale constraint, which imparts a positive correlation between volume and signed price changes. The empirical evidence on futures markets suggests that daily volume and price changes are uncorrelated. Since the short sale constraint is absent in futures, an asymmetric volume-return relation in futures has been ruled out. This paper presents evidence on a dynamic asymmetric relation in interest rate futures. The paper also provides an alternative explanation of the dynamic asymmetric relation that arises out of the joint action of scalpers, day traders, and position traders as they formulate their trading strategies.
The Microstructure Of Foreign Exchange Markets
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Author : Jeffrey A. Frankel
language : en
Publisher: University of Chicago Press
Release Date : 2009-05-15
The Microstructure Of Foreign Exchange Markets written by Jeffrey A. Frankel and has been published by University of Chicago Press this book supported file pdf, txt, epub, kindle and other format this book has been release on 2009-05-15 with Business & Economics categories.
The foreign exchange market is the largest, fastest-growing financial market in the world. Yet conventional macroeconomic approaches do not explain why people trade foreign exchange. At the same time, they fail to explain the short-run determinants of the exchange rate. These nine innovative essays use a microstructure approach to analyze the workings of the foreign exchange market, with special emphasis on institutional aspects and the actual behavior of market participants. They examine the volume of transactions, heterogeneity of traders, the time of day and location of trading, the bid-ask spread, and the high level of exchange rate volatility that has puzzled many observers. They also consider the structure of the market, including such issues as nontransparency, asymmetric information, liquidity trading, the use of automated brokers, the relationship between spot and derivative markets, and the importance of systemic risk in the market. This timely volume will be essential reading for anyone interested in the economics of international finance.
Commodity Price Dynamics
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Author : Craig Pirrong
language : en
Publisher: Cambridge University Press
Release Date : 2011-10-31
Commodity Price Dynamics written by Craig Pirrong and has been published by Cambridge University Press this book supported file pdf, txt, epub, kindle and other format this book has been release on 2011-10-31 with Business & Economics categories.
Commodities have become an important component of many investors' portfolios and the focus of much political controversy over the past decade. This book utilizes structural models to provide a better understanding of how commodities' prices behave and what drives them. It exploits differences across commodities and examines a variety of predictions of the models to identify where they work and where they fail. The findings of the analysis are useful to scholars, traders and policy makers who want to better understand often puzzling - and extreme - movements in the prices of commodities from aluminium to oil to soybeans to zinc.
The Microstructure Approach To Exchange Rates
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Author : Richard K. Lyons
language : en
Publisher: MIT Press (MA)
Release Date : 2001
The Microstructure Approach To Exchange Rates written by Richard K. Lyons and has been published by MIT Press (MA) this book supported file pdf, txt, epub, kindle and other format this book has been release on 2001 with Business & Economics categories.
Explaining the puzzling behavior of exchange rates using models from microstructure finance and data from electronic trading.