{"title":"Information Transmission across Cryptocurrency Markets and the Role of the Blockchain","authors":"D. Baur, T. Dimpfl","doi":"10.2139/ssrn.3573367","DOIUrl":"https://doi.org/10.2139/ssrn.3573367","url":null,"abstract":"The time between order submission and order confirmation is crucial for high frequency traders as they risk slippage when latency is too high. We hypothesize that high latency in cryptocurrency markets implies correlations well below one across exchanges at high frequencies. To evaluate this conjecture, we measure the correlation of returns across exchanges at increasing sampling frequencies. Since all exchanges trade the same asset, correlations must eventually approach one. However, at high frequencies, correlations are close to zero. The correlation is approaching one after about 10 minutes which we link to the median confirmation time on the blockchain highlighting the importance of the underlying blockchain design. The analysis also shows considerable differences of cryptocurrency trading with stock market trading.","PeriodicalId":340563,"journal":{"name":"ERN: Foreign Exchange Order Flows (Topic)","volume":"610 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2020-04-11","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"121063710","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
{"title":"Local Currency Systemic Risk","authors":"Nicola Borri","doi":"10.2139/ssrn.2971049","DOIUrl":"https://doi.org/10.2139/ssrn.2971049","url":null,"abstract":"Emerging country governments increasingly issue local currency denominated bonds and foreign investors have been increasing their holdings of these assets. By issuing debt denominated in local currency, emerging country governments eliminate exchange rate risk. The growing stock of local currency government debt in the financial portfolios of foreign investors increases their diversification and exposure to fast growing economies. In this paper, we highlight some of the risks associated to this recent trend. First, we adopt the CoV aR risk-measure to estimate the vulnerability of individual countries to systemic risk in the market for local currency government debt. Second, we show that our country-level estimates of vulnerability increase with the share of local currency debt held by foreign investors. A version of the old adage “When New York sneezes, London catches a cold,” used often to describe the relationship between the stock markets in these two cities, still applies between individual emerging countries and the aggregate market for local currency government debt.","PeriodicalId":340563,"journal":{"name":"ERN: Foreign Exchange Order Flows (Topic)","volume":"53 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2017-09-08","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"126295675","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
{"title":"Do Retail FX Traders Learn?","authors":"Simon Hayley, I. Marsh","doi":"10.2139/ssrn.2659293","DOIUrl":"https://doi.org/10.2139/ssrn.2659293","url":null,"abstract":"What is the benefit of experience? Using data from a leading trading platform we find no evidence that retail FX traders learn to trade better, but they do appear to make valid inferences about their innate abilities as traders. In particular, following an unsuccessful trading day they are more likely to cease trading, to trade smaller amounts and to trade less frequently. These effects are stronger for younger and less experienced traders who might be expected to have more to learn than older, more experienced traders. As regards learning through experience, surprisingly we find that more seasoned traders demonstrate a slight decline in performance once we account for the endogenous decision to cease trading, and even very experienced traders consistently lose money.","PeriodicalId":340563,"journal":{"name":"ERN: Foreign Exchange Order Flows (Topic)","volume":"25 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2015-09-11","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"132297590","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
{"title":"A Correlation Analysis of Order Aggressiveness","authors":"Cumhur Ekinci","doi":"10.2139/ssrn.2983834","DOIUrl":"https://doi.org/10.2139/ssrn.2983834","url":null,"abstract":"We give a new definition of order aggressiveness based jointly on three major concepts: time, price and quantity. Using correlations on an original dataset derived by reconstructing limit order book, we analyze to what level aggressiveness on \u0000one side affects the aggressiveness on both sides of trading. Besides, we provide further evidence of intraday effects in orders and trades.","PeriodicalId":340563,"journal":{"name":"ERN: Foreign Exchange Order Flows (Topic)","volume":"2 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2006-06-27","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"132526496","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
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