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Bień Katarzyna (Narodowy Bank Polski; Szkoła Główna Handlowa w Warszawie)
Informed and uninformed trading in the EUR/PLN spot market
Department of Applied Econometrics Working Papers, 2011, nr 4, 33 s., tab., wykr, bibliogr. 65 poz.
Słowa kluczowe
Głębokość rynku, Płynność finansowa, Transakcje walutowe, Ryzyko inwestycyjne, Kurs walutowy
Market depth, Financial liquidity, Foreign Currency Transactions, Investment risk, Exchange rates
This paper examines an intraday activity of bank trading of the EUR/PLN currency pair via the Reuters Dealing 3000 Spot Matching System in 2007. On the grounds of the sequential trade model of Easley, Engle, O'Hara & Wu (2008), we can differentiate between the time-varying patterns for the strategic behavior of informed and uninformed (liquidity) traders. We present evidence for the particular hour-of-day seasonality pattern that characterizes the arrival of uninformed and informed trades. The conditional arrival rates for both trader categories enable the assessment of their interactions and are used to forecast a time-varying probability of informed trading (PIN). The predictions of PIN are used to test the impact of information heterogeneity on the instantaneous liquidity of the market, which isproxied by the bid-ask spread and the market depth. (original abstract)
Pełny tekst
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