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https://open.uns.ac.rs/handle/123456789/4113
Title: | Multiscale analysis of microstructure causality in the foreign exchange market | Authors: | Gradojević, Nikola | Issue Date: | 1-Jan-2010 | Journal: | International Journal of Industrial Engineering and Management | Abstract: | Recent scholarly work on the causal relationship between exchange rate movements and currency order flows has provided mixed results. This paper proposes a wavelet approach for determining multiscale causality between the Canada/U.S. dollar returns and aggregate market order flow. Evidence of bi-directional causality that contradicts the microstructure literature is found for almost all time scales. Multiresolution analysis identifies significant structural breaks in the data that are potentially driving such findings. | URI: | https://open.uns.ac.rs/handle/123456789/4113 | ISSN: | 22172661 |
Appears in Collections: | FTN Publikacije/Publications |
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