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Papers by Andres Bagnasco
Capital Markets: Market Efficiency eJournal, 2009
Abstract. Using six years of high-frequency (tick) foreign exchange spot quotes between January 2... more Abstract. Using six years of high-frequency (tick) foreign exchange spot quotes between January 2003 and June 2008, as well as economic announcement schedules from G7-countries, we study the effect of the most relevant macroeconomic data releases on EURUSD, GBPUSD, USD/JPY, USDCHF, AUDUSD, USDCAD, EURGBP and EURJPY. Tick frequency, volatility indicators and average marketmaker spreads were considered. The hypothesis about the important impacts of economic announcements over exchange rates, as well as the lack of a reliable and quantitatively-based extensive classification of these announcements were the main drivers of our research. We confirm the importance of some of the most influential announcements for each of the G-7 countries. We also validate the practice of certain hedge fund managers of staying position-neutral during certain major data releases in order to avoid exposure to excessive volatility, as well as supplying hedge funds/risk managers, traders and market practition...
Capital Markets: Market Efficiency eJournal, 2009
Abstract. Using six years of high-frequency (tick) foreign exchange spot quotes between January 2... more Abstract. Using six years of high-frequency (tick) foreign exchange spot quotes between January 2003 and June 2008, as well as economic announcement schedules from G7-countries, we study the effect of the most relevant macroeconomic data releases on EURUSD, GBPUSD, USD/JPY, USDCHF, AUDUSD, USDCAD, EURGBP and EURJPY. Tick frequency, volatility indicators and average marketmaker spreads were considered. The hypothesis about the important impacts of economic announcements over exchange rates, as well as the lack of a reliable and quantitatively-based extensive classification of these announcements were the main drivers of our research. We confirm the importance of some of the most influential announcements for each of the G-7 countries. We also validate the practice of certain hedge fund managers of staying position-neutral during certain major data releases in order to avoid exposure to excessive volatility, as well as supplying hedge funds/risk managers, traders and market practition...