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Customer foreign exchange orders: when timing really does matter

Rosov, Sviatoslav and Foster, F. Douglas (2014) Customer foreign exchange orders: when timing really does matter. Australian Journal of Management, 39 (3). pp. 351-368. ISSN 0312-8962

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Identification Number: 10.1177/0312896213496257

Abstract

This paper investigates customer foreign exchange (FX) transactions to learn if there are any groups of customers whose transactions are related to subsequent FX rate changes. We use a unique data set from an Australian commercial bank with every customer FX trade in the spot Australian Dollar/US Dollar market between 2005 and 2010. We use Monte Carlo simulation to generate benchmark expected cash flows for each individual customer. This enables us to determine whether that customer’s transaction history is well-timed and therefore potentially relevant for FX determination. We find very few customers whose transactions appear well-timed, given subsequent FX rate changes.

Item Type: Article
Official URL: http://aum.sagepub.com/
Additional Information: © 2014 by The University of New South Wales
Divisions: Finance
Subjects: H Social Sciences > HC Economic History and Conditions
H Social Sciences > HG Finance
J Political Science > JZ International relations
Sets: Departments > Finance
Date Deposited: 08 Sep 2014 14:31
Last Modified: 20 Sep 2021 03:48
URI: http://eprints.lse.ac.uk/id/eprint/59418

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