R. Wada (Japan)
Foreign Exchange, Volume/Volatility, Continuous Auction
This paper models stochastic order flow generations in a FX market. Like other financial asset markets, in order for a trader to have perspective on price, he must take other traders' perspectives into consideration. In our model, prices are formed through the interactions between hetero geneous price perspectives and the order flow from macro economy. The auctions are continuous. So we do not have truistic point of time to define liquidation value. Also ap plying demand and supply on their asynchronous transac tions is difficult. We use alternative benchmark value and arrival intensities of order flow. We derive determinants of volume and volatility.
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