FX High Frequency Data

creditderivatives · Post by **creditderivatives** » Tue Feb 22, 2005 7:05 pm

Hi! I want to write a paper on the relationship between price-turning-points and order-flow in the FX Market. Do you have any suggestion on related work (FX or other) and literature in FX market microstructure? Thanks.

chiral3 · Post by **chiral3** » Tue Feb 22, 2005 7:08 pm

olsen maybe.

FDAXHunter · Post by **FDAXHunter** » Tue Feb 22, 2005 7:17 pm

Some are sort of old, but should give you some direction:

Informed Trade in Spot Foreign Exchange Markets: an Empirical Investigation

Order Flow and Exchange Rate Dynamics

Herding and Information Content of Trades in the Foreign Exchange Market

Hope this helps.

David · Post by **David** » Tue Feb 22, 2005 9:05 pm

The turning point and order flow phenomenon in the FX is also discussed in 'Financial Markets Tick by Tick' by Pierre Lequeux, if memory serves.

opmtrader · Post by **opmtrader** » Tue Feb 22, 2005 10:21 pm

David, what's the general idea, volume increases at turning points?

LaurenV29 · Post by **LaurenV29** » Sat Feb 26, 2005 4:27 am

I have some amazing papers on high-frequency data (not by me) that i would be willing to share (they are my friend's so i would have to ask first) but in general i focus my non-work research on high-frequency. I think it's pretty interesting- particularly the relation to plasma physics and the formulae used in finding ways to capacitate certain grids...and how this all relates to PDEs and then to phynance. (i am in no way suggesting that i understand how to implement any of this- i am just an observer!)

creditderivatives · Post by **creditderivatives** » Sat Feb 26, 2005 1:46 pm

Many thanks for the references posted. I find them very useful.

LaurenV29, could you please send me those papers to the email in my profile? Cheers.

Kutilya · Post by **Kutilya** » Sat Feb 26, 2005 4:17 pm

Lauren could you be kind enough to mail the papers to me as well please.

Guys is there a good book on FX about, which hopefully covers lets say everything. reccos gratefully accepted.

TonyC · Post by **TonyC** » Sat Feb 26, 2005 8:34 pm

Lauren, if you could kindly mail 'em to me as well

David · Post by **David** » Sun Feb 27, 2005 9:45 pm

[i]David, what's the general idea, volume increases at turning points?[/i]

No.

Turning points can simply be defined as an asymmetric swing or a change in trajectory, which pass your eyeball test.

Hope this helps.