Multiscale Analysis of Foreign Exchange Order Flows and Technical Trading Profitability

Article, Preprint OPEN
Gradojevic, Nikola; Lento, Camillo;
(2015)
  • Publisher: Elsevier
  • Related identifiers: doi: 10.1016/j.econmod.2015.02.028
  • Subject: [SHS.GESTION]Humanities and Social Sciences/Business administration | Order flows | Technical trading | Foreign exchange markets | [ SHS.GESTION ] Humanities and Social Sciences/Business administration | Foreign Exchange Markets; Order Flows; Technical Trading; Frequency Domain | Frequency domain
    • jel: jel:F31 | jel:C53 | jel:G14

This paper investigates the multiscale (frequency-dependent) relationship between technical trading profitability and feedback trading effects in the Canada/U.S. dollar foreign exchange market. The results suggest weak evidence that technical trading activities of finan... View more
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