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- W2894593742 abstract "This paper studies the information content of trades in the world's largest over-thecounter market, the foreign exchange (FX) market. The results are derived from a comprehensive order flow dataset distinguishing between different groups of market participantsand covering a broad cross-section of currency pairs. Our findings show that both the contemporary and permanent price impact are heterogeneous across agents, time, and currency pairs, supporting the asymmetric information theory. A trading strategy based on the permanent price impact capturing superior information generates high returns even after accounting for risk, transaction costs, and other common risk factors documented in the FX literature." @default.
- W2894593742 created "2018-10-12" @default.
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- W2894593742 date "2018-01-01" @default.
- W2894593742 modified "2023-09-27" @default.
- W2894593742 title "Heterogeneous Information Content of Global FX Trading" @default.
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- W2894593742 doi "https://doi.org/10.2139/ssrn.3263279" @default.
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