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Microscopic Analysis of the FX Market
Shaimaa works on the High-frequency Finance Project.
Shaimaa is winner of a
David Norman Prize in
CCFEA.
She aims to conduct a microscopic analysis of traders’ behaviour in Foreign Exchange (FX),
to enable us to understand, define and measure the different forces driving the FX market.
This will be performed on anonymised data provided by OANDA.
We shall follow the approach by
Richard Olsen
(Visiting Professor at CCFEA).
The initial part of this approach is factual description:
the task is to observe the micro-behaviour of traders in the market and define stylized facts.
Following is the research agenda:
Define and measure known, and possibly unknown, stylised facts in the foreign exchange market,
Analyze traders’ behaviour by tracing their actual trades and transactions over long time horizons.
Study the leverage effect on traders' behaviour and the pressure of margin calls on market prices.
Categorize the population of traders at OANDA according to their frequency of trading, size of trades, leverage used, trading time zones, currency pairs traded, closing prices, time length of holding on losing and winning positions, and portfolios held.
Grouping traders by their behaviour. The discovered clusters may be further contrasted with those described in behavioural finance.
Build dynamic maps of traders’ positions and characterise its shape and its effect on the market. Possible market forces can be defined from these maps.
Assessing trading behaviour - after analyzing and understanding traders’ behaviour, we can assess their performance by identifying and evaluating the strategies adopted.
Building a useful foundation for modelling traders behaviour, predicting market movements and developing indicators of the likely occurrence for market crashes.
This work is related to but independent of Monira Al-Oud's work.
Maintained by Edward Tsang;
updated 2011.04.19
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