Linear and Non-Linear Dependence between Returns and Trading Volume in the Currency Futures Market
Linear and Non-Linear Dependence between Returns and Trading Volume in the Currency Futures Market

Author: Wan Mansor Mahmood

Publisher:

Published: 2007

Total Pages:

ISBN-13:

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In this paper, the relationship between returns and trading volume is examined for four futures contracts for the period January 1, 1986 to April 30, 1997. Both linear and nonlinear dependence are examined. The study first employs linear causality tests and find that futures returns and volume have no predictive power for one another. However, since the series show evidence of nonlinear dependence, the GARCH model is then employed. The results show a sifnificant relationship between the returns and volume for only two of the four currencies (i.e Japanese yen and Swiss franc) tested. Moveover, when the series are divided into subsamples, the results of the GARCH tests point to a significant relationship for all currency futures regarding the prediction of returns from volume traded, although mainly in the second period. The results of this study suggest that trading volume can provide importat information in return prediction using a nonlinear model but that the series do not exihibit homogenous behaviour over the entire sample period. Further, the results support the sequential information arrival hypothesis ounly in few cases.

Currency Trading in the Forex and Futures Markets
Currency Trading in the Forex and Futures Markets

Author: Carley Garner

Publisher: FT Press

Published: 2012-01-04

Total Pages: 241

ISBN-13: 0132779668

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Currency trading offers immense potential to stock and futures investors seeking new speculative opportunities. However, there are several ways to trade in currencies, and many unsuspecting traders have been burned by aggressive marketing campaigns and gimmicks luring them into unfavorable trading environments. In this book, best-selling trading author Carley Garner covers everything new currency traders need to know to avoid those pitfalls and start earning big profits. Currency Trading in the Forex and Futures Markets begins by demystifying all the essentials, from quotes and calculations to the unique language of Forex trading. Readers learn all they need to know about choosing trading platforms and brokerage firms; working with leverage; controlling transaction costs; managing liquidity, margins, and risks; and much more. Garner thoroughly explains the currency spot market (Forex); currency futures traded on the Chicago Mercantile Exchange (CME); and currency ETFs. She candidly discusses the advantages and disadvantages of each, cutting through the "smoke and mirrors" often associated with currency trading. Readers will also find a full section on currency market speculation, including a clear introduction to fundamental and seasonal analysis in currency markets. With her guidance, new currency traders can identify the markets and approaches that best fit their objectives, and avoid the pitfalls that have often victimized their predecessors.

Currency Trading
Currency Trading

Author: Philip Gotthelf

Publisher: John Wiley & Sons

Published: 2003-01-10

Total Pages: 320

ISBN-13: 9780471215547

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"Currency Trading is filled with in-depth insights and valuable advice that any level of currency trader can appreciate. Numerous real-world examples and case studies help drive each point home in a straightforward, no-nonsense manner."--BOOK JACKET.

High Frequency Trading and Limit Order Book Dynamics
High Frequency Trading and Limit Order Book Dynamics

Author: Ingmar Nolte

Publisher: Routledge

Published: 2016-04-14

Total Pages: 377

ISBN-13: 1317570766

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This book brings together the latest research in the areas of market microstructure and high-frequency finance along with new econometric methods to address critical practical issues in these areas of research. Thirteen chapters, each of which makes a valuable and significant contribution to the existing literature have been brought together, spanning a wide range of topics including information asymmetry and the information content in limit order books, high-frequency return distribution models, multivariate volatility forecasting, analysis of individual trading behaviour, the analysis of liquidity, price discovery across markets, market microstructure models and the information content of order flow. These issues are central both to the rapidly expanding practice of high frequency trading in financial markets and to the further development of the academic literature in this area. The volume will therefore be of immediate interest to practitioners and academics. This book was originally published as a special issue of European Journal of Finance.

Foreign Exchange Market Trading Volume and Federal Reserve Intervention
Foreign Exchange Market Trading Volume and Federal Reserve Intervention

Author: Alain Chaboud

Publisher:

Published: 1999

Total Pages: 13

ISBN-13:

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We find a large positive correlation between daily trading volume in currency futures markets and foreign exchange intervention by the Federal Reserve over the period 1979-1996. Neither contemporaneous nor predicted volatility can fully account for the increases in trading activity. Whether or not the intervention operation is publicly reported appears to be an important determinant of trading volume.