Published in

Taylor and Francis Group, Applied Economics Letters, 3(5), p. 135-138

DOI: 10.1080/758521368

Links

Tools

Export citation

Search in Google Scholar

Stochastic Long Memory in Traded Goods Prices.

Journal article published in 1998 by John T. Barkoulas, Christopher F. Baum ORCID, Gurkan S. Oguz
This paper is available in a repository.
This paper is available in a repository.

Full text: Download

Green circle
Preprint: archiving allowed
Orange circle
Postprint: archiving restricted
Red circle
Published version: archiving forbidden
Data provided by SHERPA/RoMEO

Abstract

This paper contributes empirically to our understanding of informed traders. It analyzes traders' characteristics in a foreign exchange electronic limit order market via anonymous trader identities. We use six indicators of informed trading in a cross-sectional multivariate approach to identify traders with high price impact. More information is conveyed by those traders' trades which--simultaneously--use medium-sized orders (practice stealth trading), have large trading volume, are located in a financial center, trade early in the trading session, at times of wide spreads and when the order book is thin.