Agent Exchange is a virtual trading environment serving as a test bed for experiments with market simulations, trading strategies and auctioning techniques. Agent Exchange is the distributed environment implementing up-to-date knowledge from multi-agent systems and secure communication. The developed agent community consists of independent agents communicating via defined protocols and ontology...

This paper analyses data for the aggregate daily trading of all foreign investors in six Asian emerging equity markets and provides two new findings. First, foreigners’ flows into several markets show positive-feedback trading with respect to global, as well as domestic, equity returns. In particular, foreigners tend to be buyers in these markets on the day after rises in these markets or in US...

We analyse how constraints on dealers’ risk bearing capacity affect market efficiency in the foreign exchange (FX) market. Dealers support by accommodating their customers’ trading demands through elastic liquidity provision normal times but when they face elasticity of weakens. Episodes tight dealer – for instance, due to high leverage, Value-at-Risk, and funding costs turn go hand with pric...

the purpose of this research is to examine the existence of seasonality in the stock market return, its volatility and trading amount associated with moving calendar events such as the holy month of ramadan using a garch specification and data for the tehran stock exchange (tse) from april 1998 to june 2010. the result shows a statistically significant increase in returns and a systematic patte...

This study examines intraday time series momentum in Bitcoin. Unlike stock markets, Bitcoin trades 24 h a day and therefore has not got clear opening closing period. Therefore, we use trading volume as proxy for the market show that first half-hour positively predicts last return. We find sessions with highest or volatility are associated greatest predictability momentum. also momentum-based yi...

This paper considers the role of foreign investors in developed country equity markets. It presents a quantitative model of trading that is built around two new assumptions about investor sophistication: (i) both the foreign and domestic populations contain investors with superior information sets; and (i i) these knowledgeable investors have access to both public equity markets and private inv...

We study the investment behavior of foreign investors in association with an equity market liberalization, and find a strong link between foreigners trading and local market returns. In the period following the liberalization, net purchases by foreign investors induced a permanent increase in stock prices, suggesting that local firms reduced their cost of equity capital. We also find a strong l...

in a managed floating exchange rate regime, one of the most important issues is the degree to which the monetary authorities intervene in the foreign exchange market.  the appropriate level of intervention in the foreign exchange market can be discussed in a framework which emphasizes the trade-off between changes in the country’s level of international reserves and minimizes the country’s real...