Model sekwencyjnego zawierania transakcji – zastosowanie do analizy procesu transakcyjnego na kasowym rynku złotego
The sequential trade model – application to the analysis of the trading process in the polish zloty market

Summary/Abstract: In the paper we estimate the degree of expectation heterogeneity among currency dealers on the interbank spot market of the EUR/PLN currency pair. We use the flow of buy and sell orders submitted to the market (orders to buy or to sell euro). In a market microstructure study we present the generalized version (see [Wünsche 2007]) of the sequential trade model proposed in [Easley et al. 1996]. The aim of the model is to estimate the informational content of trades upon four distinct measures: (1) probability of the news arrival, (2) probability that the news is bad, (3) arrival rate of informed trades and (4) arrival rate of uninformed trades (i.e. liquidity trades). In the empirical part of the paper we estimate the impact of the news regime (periods classified as good, bad and neutral for the base currency) on the volatility of the EUR/PLN exchange rate.

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