Intraday patterns in FX returns and order flow

Francis Breedon and Angelo Ranaldo

No 2011-04, Working Papers from Swiss National Bank

Abstract: Using 10 years of high-frequency foreign exchange data, we present evidence of time-of-day effects in foreign exchange returns through a significant tendency for currencies to depreciate during local trading hours. We confirm this pattern across a range of currencies and find that, in the case of EUR/USD, it can form a simple, profitable trading strategy. We also find that this pattern is present in order flow and suggest that both patterns relate to the tendency of market participants to be net purchasers of foreign exchange in their own trading hours. Data from alternative sources appear to corroborate that interpretation.

Keywords: foreign exchange; microstructure; order flow; liquidity (search for similar items in EconPapers)
JEL-codes: G15 (search for similar items in EconPapers)
Pages: 28 pages
Date: 2011
New Economics Papers: this item is included in nep-mon and nep-mst
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Citations: View citations in EconPapers (3)

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Related works:
Journal Article: Intraday Patterns in FX Returns and Order Flow (2013)
Journal Article: Intraday Patterns in FX Returns and Order Flow (2013)
Working Paper: Intraday Patterns in FX Returns and Order Flow (2012)
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Persistent link: https://EconPapers.repec.org/RePEc:snb:snbwpa:2011-04

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