Been researching for a while now and have come up with a few ideas.
Firstly after reviewing the attached Pdf from Bank of England stats it can be said that the major part of fx transactions are made by "other financial institutions" and the definition of these are as described below.
"This category covers the financial institutions that are not reporting dealers. Thus, it will include smaller commercial banks, investment banks and securities houses, and in addition mutual funds, pension funds, hedge funds, currency funds, money market funds, building societies, leasing companies, insurance companies, other financial subsidiaries of corporate firms and central banks."
Now I think to predict order flow in spots can be done but I think a clearer understanding of the search for liquidity would be needed to try and forecast where these orders are likely to hit the market. It also seems apparent that benchmarks must be used alot on spot transactions. The benchmarks I've found are Vwap Twap closing/opening price and average price. Further investigation needs to be done in these areas to see if orders do tend to be executed around them.
The next product I've been investigating is the Fx Forwards. Especially after seeing this article:
http://www.telegraph.co.uk/finance/n...ncy-trade.html
In theory if we know a forward price and execution date there maybe some way of anticipating orders coming in at those levels. I think that payroll dates maybe something else to look at.
Please tell me if I am seriously off track.
James.
Firstly after reviewing the attached Pdf from Bank of England stats it can be said that the major part of fx transactions are made by "other financial institutions" and the definition of these are as described below.
"This category covers the financial institutions that are not reporting dealers. Thus, it will include smaller commercial banks, investment banks and securities houses, and in addition mutual funds, pension funds, hedge funds, currency funds, money market funds, building societies, leasing companies, insurance companies, other financial subsidiaries of corporate firms and central banks."
Now I think to predict order flow in spots can be done but I think a clearer understanding of the search for liquidity would be needed to try and forecast where these orders are likely to hit the market. It also seems apparent that benchmarks must be used alot on spot transactions. The benchmarks I've found are Vwap Twap closing/opening price and average price. Further investigation needs to be done in these areas to see if orders do tend to be executed around them.
The next product I've been investigating is the Fx Forwards. Especially after seeing this article:
http://www.telegraph.co.uk/finance/n...ncy-trade.html
In theory if we know a forward price and execution date there maybe some way of anticipating orders coming in at those levels. I think that payroll dates maybe something else to look at.
Please tell me if I am seriously off track.
James.
Attached File(s)
