International Journal of Industrial Engineering and Management

Lorem ipsum dolor sit amet, consectetur adipisicing elit, sed do eiusmod tempor incididunt ut ero labore et dolore magna aliqua. Ut enim ad minim veniam, quis nostrud exercitation ullamco.

Search
GUIDE FOR AUTHORS SUBMIT MANUSCRIPT
Vol. 1 No. 2 (2010)
Original Research Article

Multiscale Analysis of Microstructure Causality in the Foreign Exchange Market

FULL TEXT ARTICLE (PDF)
  • Nikola Gradojevic
Nikola Gradojevic
Faculty of Business Administration, Lakehead University
Bio
DOI: https://doi.org/10.24867/IJIEM-2010-2-006

Published 2010-06-30

abstract views: 5 // FULL TEXT ARTICLE (PDF): 0


Keywords

  • Wavelets,
  • Causality,
  • Foreign Exchange Markets,
  • Market Microstructure

How to Cite

Gradojevic, N. (2010). Multiscale Analysis of Microstructure Causality in the Foreign Exchange Market. International Journal of Industrial Engineering and Management, 1(2), 47–52. https://doi.org/10.24867/IJIEM-2010-2-006

Copyright (c) 2023 International Journal of Industrial Engineering and Management

Creative Commons License

This work is licensed under a Creative Commons Attribution 4.0 International License.

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.

 

Article history: Received (09.09.2010); Revised (27.09.2010); Accepted (25.10.2010)  

PlumX Metrics

Dimensions Citation Metrics

FULL TEXT ARTICLE (PDF)