Foreign exchange market

About: Foreign exchange market is a research topic. Over the lifetime, 6661 publications have been published within this topic receiving 153384 citations. The topic is also known as: forex & FX.

Trading Patterns and Prices in the Interbank Foreign Exchange Market

Abstract: The behavior of quote arrivals and bid-ask spreads is examined for continuously recorded deutsche mark-dollar exchange rate data over time, across locations, and by market participants. A pattern in the intraday spread and intensity of market activity over time is uncovered and related to theories of trading patterns. Models for the conditional mean and variance of returns and bid-ask spreads indicate volatility clustering at high frequencies. The proposition that trading intensity has an independent effect on returns volatility is rejected, but holds for spread volatility. Conditional returns volatility is increasing in the size of the spread. THERE IS A GROWING body of theoretical studies on the pattern of trading activity in financial markets, with implications for the time series behavior of transactions prices and intensity of trading. The empirical literature addressing similar concerns using intraday market data appropriate for such tasks is sparse, particularly in the area of the trading of currencies. The purpose of this paper is to examine both international patterns of intraday trading activity and the time series properties of returns and bid-ask spreads for the deutsche mark-dollar exchange rate in the interbank foreign exchange market. The goal is to provide information useful in the further development of market microstructure models of trading and to compare empirical findings against theoretical results already in existence. The foreign exchange market is in operation twenty-four hours a day, seven

System and method for trading having a principal market maker

Abstract: A system and method is provided for linking a Rolling Spot Currency contract (i.e. futures contracts in the foreign exchange market) with a Principal Market Maker (i.e. quoter) specialist program designed to replicate an over-the-counter bank trading environment by merging a combined trader and broker, with a traditional futures pit trading environment. The link includes a Principal Market Maker (PMM) computer (12), a computer (10) coupled to computer (12) for trading rolling spot currency, a conventional electronic brokerage and trading network (14) such as the REUTERS trading system, a limited access network (26) used by non-professional traders, and a clearing facility (48), which is coupled to PMM computer (12), computer (10), network (14) and limited access network (26) to confirm and settle trades executed by PMM computer (12). These elements of the link are coupled to PMM computer (12) to receive and transmits bids and offers for international currency trading.

Stock Prices and Exchange Rate Dynamics

Abstract: We study the long-run and short-run dynamics between stock prices and exchange rates and the channels through which exogenous shocks impact on these markets. We apply the analysis to a group of Pacific Basin countries and examine whether foreign exchange controls and the Asian financial crisis of mid 1997 affected the links between the markets. The evidence shows that the US stock market acts as a conduit through which the foreign exchange market and the local stock markets are linked. It also provides support for a close relationship between financial and economic integration. Finally, the evidence shows that the financial crisis had a temporary effect on the long-run comovement between the various markets.

International Capital Markets: Developments, Prospects, and Policy Issues

Abstract: Introduction and summary global financial markets - moving up the learning curve survey of international capital markets surveillance over global financial markets - broadening current arrangements controlling settlement risk in the global foreign exchange market policy implications and conclusions.