We investigate the informative property of quoting activity, measured by the frequency of price revisions, in the Euro/Dollar foreign exchange market. We use the multivariate double autoregressive conditional Poisson model, designed for time series of count data.

By Dr Walid Ben Omrane and Andréas Heinen

Summary:

•Introduction

•The Quoting Activity Signal

•Data and Descriptive Statistics

•Models and Results

•Results

•Conclusion

•Appendix

•Table

•Figure

•References