Article ID Journal Published Year Pages File Type
961592 Journal of Financial Markets 2012 28 Pages PDF
Abstract
► Limit order book variables explain variation in exchange rate returns in-sample. ► Limit order book information does not add significant economic value out-of-sample.Profitability of trading rules dropped substantially in 2008 compared to 2003 data.The results support Adaptive Market Hypothesis.
Keywords
Related Topics
Social Sciences and Humanities Economics, Econometrics and Finance Economics and Econometrics
Preview
The information content of a limit order book: The case of an FX market
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