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The $4 trillion question: what explains FX growth since the 2007 survey?
Michael R. King,Dagfinn Rime +1 more
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The daily average foreign exchange market turnover reached $4 trillion in April 2010, 20% higher than in 2007 as mentioned in this paper, attributed largely to increased trading activity of other financial institutions, which contributed 85% of the higher turnover.Abstract:
Daily average foreign exchange market turnover reached $4 trillion in April 2010, 20% higher than in 2007. Growth owed largely to the increased trading activity of “other financial institutions”, which contributed 85% of the higher turnover. Within this customer category, the growth is driven by high-frequency traders, banks trading as clients of the biggest dealers, and online trading by retail investors. Electronic trading has been instrumental to this increase, particularly algorithmic trading.read more
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Currency Momentum Strategies
Lukas Menkhoff,Lukas Menkhoff,Lucio Sarno,Lucio Sarno,Maik Schmeling,Maik Schmeling,Andreas Schrimpf +6 more
TL;DR: In this paper, the authors provide a broad empirical investigation of momentum strategies in the foreign exchange market and find a significant cross-sectional spread in excess returns of up to 10% p.a. between past winner and loser currencies.
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Investment in capital markets
TL;DR: In this paper, the authors discuss the pros and cons of the financial capital investment in the capital markets, discussing the sophisticated investment concepts and techniques in the simple understandable readable general format language.
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Peer Pressure: Social Interaction and the Disposition Effect
TL;DR: In this paper, the authors exploit the staggered entry of retail brokerages into partnership with the social trading web-platform and compare trader activity before and after exposure to these new social conditions, finding that access to the social network nearly doubles the magnitude of a trader's disposition effect.
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Investor Attention and FX Market Volatility
Arben Kita,Qingwei Wang +1 more
TL;DR: In this article, the authors studied whether investors' active information acquisition, measured by search volume in Google (SVI), affects the dynamics of currency prices and found that an increase in SVI is associated with higher volatility in both time series and cross section.
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Computerized and High-Frequency Trading
TL;DR: The evolution of increasingly fast automated trading over the past decade and some key features of its associated practices, strategies, and apparent profitability are described.
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The Crisis in the Foreign Exchange Market
TL;DR: In this article, an implementable financial stress index (FSI) is created and then used to illustrate the dramatic nature of the current crisis compared to earlier crises and how the global FSI might have been used to condition the exposure to the carry trade.
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A simultaneous trade model of the foreign exchange hot potato
TL;DR: In this article, the authors developed a simultaneous trade model of the spot foreign exchange market (cf., the sequential trade approach to dealing) and showed that hot-potato trading reduces the information in interdealer trades, making price less informative.
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A User's Guide to the Triennial Central Bank Survey of Foreign Exchange Market Activity
Michael R. King,Carlos Mallo +1 more
TL;DR: This paper provided an overview of the foreign exchange components of the Triennial Central Bank Survey and highlighted key dimensions of this dataset and methodological issues that are important to interpret it correctly and compared the methodology of the triennial to that of more frequent surveys from regional foreign exchange committees.
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Central counterparties for over-the-counter derivatives
Stephen G. Cecchetti,Stephen G. Cecchetti,Stephen G. Cecchetti,Jacob Gyntelberg,Marc Hollanders +4 more
TL;DR: In this paper, the authors argue that central counterparties alone are not sufficient to ensure the resilience and efficiency of derivatives markets, and propose a wider use of CPs for over-the-counter derivatives.
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The Collapse of International Bank Finance During the Crisis: Evidence from Syndicated Loan Markets
TL;DR: In this article, the authors examined developments in the syndicated loan markets during the financial crisis and found that supply constraints aggravated the sharp decline of syndicated lending. But they did not consider the role of international banks in the collapse of the loan market.