The long memory of order flow in the foreign exchange spot market
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 dat...
| Main Authors: | , , |
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| 格式: | Journal article |
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World Scientific Publishing
2016
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| _version_ | 1826296445506945024 |
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| author | Gould, M Porter, M Howison, S |
| author_facet | Gould, M Porter, M Howison, S |
| author_sort | Gould, M |
| collection | OXFORD |
| description | 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 each of the three currency pairs and on each trading day in our sample. We repeat our calculations using data that spans different trading days, and we find no significant differences in our results. We test and reject the hypothesis that the apparent long memory of order flow is an artifact caused by structural breaks, in favor of the alternative hypothesis of true long memory. We therefore conclude that the long memory of order flow in the FX spot market is a robust empirical property that persists across daily boundaries. |
| first_indexed | 2024-03-07T04:16:26Z |
| format | Journal article |
| id | oxford-uuid:c99225c8-43e2-4ef8-8879-d633039299c0 |
| institution | University of Oxford |
| last_indexed | 2024-03-07T04:16:26Z |
| publishDate | 2016 |
| publisher | World Scientific Publishing |
| record_format | dspace |
| spelling | oxford-uuid:c99225c8-43e2-4ef8-8879-d633039299c02022-03-27T07:00:15ZThe long memory of order flow in the foreign exchange spot marketJournal articlehttp://purl.org/coar/resource_type/c_dcae04bcuuid:c99225c8-43e2-4ef8-8879-d633039299c0Symplectic Elements at OxfordWorld Scientific Publishing2016Gould, MPorter, MHowison, SWe 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 each of the three currency pairs and on each trading day in our sample. We repeat our calculations using data that spans different trading days, and we find no significant differences in our results. We test and reject the hypothesis that the apparent long memory of order flow is an artifact caused by structural breaks, in favor of the alternative hypothesis of true long memory. We therefore conclude that the long memory of order flow in the FX spot market is a robust empirical property that persists across daily boundaries. |
| spellingShingle | Gould, M Porter, M Howison, S The long memory of order flow in the foreign exchange spot market |
| title | The long memory of order flow in the foreign exchange spot market |
| title_full | The long memory of order flow in the foreign exchange spot market |
| title_fullStr | The long memory of order flow in the foreign exchange spot market |
| title_full_unstemmed | The long memory of order flow in the foreign exchange spot market |
| title_short | The long memory of order flow in the foreign exchange spot market |
| title_sort | long memory of order flow in the foreign exchange spot market |
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