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Incorporating derivative order flow in foreign exchange microstructure theory
Includes abstract.
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| Main Author: | |
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| Format: | Thesis |
| Language: | English |
| Published: |
School of Economics
2014
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| _version_ | 1867613355942871040 |
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| access_status_str | Open Access |
| author | Condon, Kieran |
| author_browse | Condon, Kieran |
| author_facet | Condon, Kieran |
| author_sort | Condon, Kieran |
| collection | Thesis |
| description | Includes abstract. |
| format | Thesis |
| id | oai:open.uct.ac.za:11427/5775 |
| institution | University of Cape Town (South Africa) |
| language | eng |
| last_indexed | 2026-06-10T12:34:50.540Z |
| license_str | Not specified — see source repository |
| provenance_str_mv | Harvested via OAI-PMH from UCTD — University of Cape Town Open Access Repository |
| publishDate | 2014 |
| publishDateRange | 2014 |
| publishDateSort | 2014 |
| publisher | School of Economics |
| publisherStr | School of Economics |
| record_format | dspace |
| source_str | UCTD — University of Cape Town Open Access Repository |
| spelling | oai:open.uct.ac.za:11427/5775 Incorporating derivative order flow in foreign exchange microstructure theory Condon, Kieran Economics Includes abstract. Includes bibliographical references (p. 36-38). This paper justifies the claim that orders on exchange rate derivatives, including forwards, swaps and options, have a place in exchange rate determination. A simple option model based on Kyle (1985) is presented illustrating that option order flow informs traders about expectations of future exchange rates. The model is placed in a complete market where options are replicable thus conveying the same information as spot orders. A proposal is made that forward order flow has a variable impact on spot rates, depending on the extent to which they are used in hedging activities and must be treated separately to spot orders. Finally, the construction of FX swap order flow could be achieved by considering only the spot leg of the swap transaction as the forward leg in a swap is necessarily a hedging tool with no effect on rates. 2014-07-31T12:26:39Z 2014-07-31T12:26:39Z 2008 Master Thesis Masters MCom http://hdl.handle.net/11427/5775 eng application/pdf School of Economics Faculty of Commerce University of Cape Town |
| spellingShingle | Economics Condon, Kieran Incorporating derivative order flow in foreign exchange microstructure theory |
| thesis_degree_str | Master's |
| title | Incorporating derivative order flow in foreign exchange microstructure theory |
| title_full | Incorporating derivative order flow in foreign exchange microstructure theory |
| title_fullStr | Incorporating derivative order flow in foreign exchange microstructure theory |
| title_full_unstemmed | Incorporating derivative order flow in foreign exchange microstructure theory |
| title_short | Incorporating derivative order flow in foreign exchange microstructure theory |
| title_sort | incorporating derivative order flow in foreign exchange microstructure theory |
| topic | Economics |
| url | http://hdl.handle.net/11427/5775 |
| work_keys_str_mv | AT condonkieran incorporatingderivativeorderflowinforeignexchangemicrostructuretheory |