Gould, Martin
[VerfasserIn]
;
Porter, Mason Alexander
[Sonstige Person, Familie und Körperschaft];
Howison, Sam
[Sonstige Person, Familie und Körperschaft]
The Long Memory of Order Flow in the Foreign Exchange Spot Market
Anmerkungen:
Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments October 22, 2015 erstellt
Beschreibung:
We study the long memory of order flow for each of three liquid currency pairs on a large electronic trading platform in the foreign exchange (FX) spot market. Due to the extremely high levels of market activity on the platform, and in contrast to existing empirical studies of other markets, our data enables us to perform statistically stable estimation without needing to aggregate data from different trading days. We find strong evidence of long memory, with a Hurst exponent of approximately 0.7, for each of the three currency pairs and on each trading day in our sample. We repeat our calculations using data that spans different trading days, and we find no significant differences in our results. We test and reject the hypothesis that the apparent long memory of order flow is an artifact caused by structural breaks, in favour of the alternative hypothesis of true long memory. We therefore conclude that the long memory of order flow in the FX spot market is a robust empirical property that persists across daily boundaries