Information Flows in Foreign Exchange Markets: Dissecting Customer Currency Trades

• DOI: 10.1111/jofi.12378
• Publication Date: 2016-03-22T10:33:52Z
• Authors: LUKAS MENKHOFF; LUCIO SARNO; MAIK SCHMELING; ANDREAS SCHRIMPF
• Keywords: Intermediation

ABSTRACT We study the information in order flows world's largest over‐the‐counter market, foreign exchange (FX) market. The analysis draws on a data set covering broad cross‐section of currencies and different customer segments FX end‐users. results suggest that are highly informative about future rates provide significant economic value. also find groups can share risk with each other effectively through intermediation large dealer, differ markedly their predictive ability, trading styles, exposure.