Publicação
An investigation of customer order flow In the norwegian foreign exchange market
| datacite.subject.fos | Ciências Sociais::Economia e Gestão | pt_PT |
| dc.contributor.advisor | Rodrigues, Paulo Manuel Marques | |
| dc.contributor.author | Nguyen, Vinh Quang | |
| dc.date.accessioned | 2017-07-31T14:02:09Z | |
| dc.date.available | 2020-01-20T01:30:28Z | |
| dc.date.issued | 2017-01-20 | |
| dc.description.abstract | This thesis aimes at examining customer order flow in the Norwegian currency market (NOK/EUR). The key findings suggest heterogeneity among market participants, where non–financial customers’ order flow is the primary information source that drives price movements and foreign banks’ transaction flow provide liquidity in the market. However, the segments’ effect on price is non-permanent. Further evidence indicates that the transaction flow is complimentary to the traditional fundamentals when modeling the exchange rate. The out of sample findings indicate that order flow based models perform better than a random walk and a traditional model for statistical forecasts. | pt_PT |
| dc.identifier.tid | 201716615 | pt_PT |
| dc.identifier.uri | http://hdl.handle.net/10362/22301 | |
| dc.language.iso | eng | pt_PT |
| dc.subject | Microstructure approach | pt_PT |
| dc.subject | Customer order flow | pt_PT |
| dc.subject | Liquidity effect | pt_PT |
| dc.subject | Information effect | pt_PT |
| dc.title | An investigation of customer order flow In the norwegian foreign exchange market | pt_PT |
| dc.type | master thesis | |
| dspace.entity.type | Publication | |
| rcaap.rights | embargoedAccess | pt_PT |
| rcaap.type | masterThesis | pt_PT |
| thesis.degree.name | A work project, presented as part of the requirements for the a word of a Master Degree in Managemen from the NOVA- School of Business and Economics | pt_PT |