Information in foreign exchange markets
This thesis investigates the theory that customer order flow conveys information about foreign exchange (FX) prices. This proposition has not been extensively tested due to the difficulties in obtaining sufficiently detailed private trading data. I use a unique data set from a leading Australian commercial bank that has records on every FX trade made in the spot AUD/USD market by the bank between 2005 and 2011. To address the research question, I first search for cointegration between the FX...[Show more]
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