Measuring the information content of customer foreign exchange orders

This paper investigates whether customer order flow conveys information about future foreign exchange (FX) prices. We use a unique data set from a leading Australian commercial bank that records every FX trade made by the bank in the spot Australian dollar/US dollar market between 2005 and 2010. We find little evidence in support of a cointegrating relation or a statistically significant correlation between customer order flow and FX returns. However, consistent with the liquidity provision role of non-financial customers in Evans and Lyons ((2002) Order flow and exchange rate dynamics. Journal of Political Economy 110: 170–180), we find a statistically significant negative correlation between order flow from the diversified economic sector and FX returns. A dynamic analysis suggests that order flow has little or no price impact on FX returns. These results suggest that the non-financial customer order flow of a commercial bank does not carry information about FX prices

Calculations of the dynamical critical exponent using the asymptotic series summation method

We consider how the Pad'e-Borel, Pad'e-Borel-Leroy, and conformal mapping summation methods for asymptotic series can be used to calculate the dynamical critical exponent for homogeneous and disordered Ising-like systems.Comment: 21 RevTeX pages, 2 figure

Ordering in the dilute weakly-anisotropic antiferromagnet Mn(0.35)Zn(0.65)F2

The highly diluted antiferromagnet Mn(0.35)Zn(0.65)F2 has been investigated by neutron scattering in zero field. The Bragg peaks observed below the Neel temperature TN (approximately 10.9 K) indicate stable antiferromagnetic long-range ordering at low temperature. The critical behavior is governed by random-exchange Ising model critical exponents (nu approximately 0.69 and gamma approximately 1.31), as reported for Mn(x)Zn(1-x)F2 with higher x and for the isostructural compound Fe(x)Zn(1-x)F2. However, in addition to the Bragg peaks, unusual scattering behavior appears for |q|>0 below a glassy temperature Tg approximately 7.0 K. The glassy region T<Tg corresponds to that of noticeable frequency dependence in earlier zero-field ac susceptibility measurements on this sample. These results indicate that long-range order coexists with short-range nonequilibrium clusters in this highly diluted magnet.Comment: 7 pages, 5 figure

Effective and Asymptotic Critical Exponents of Weakly Diluted Quenched Ising Model: 3d Approach Versus ϵ1/2\epsilon^{1/2}-Expansion

We present a field-theoretical treatment of the critical behavior of three-dimensional weakly diluted quenched Ising model. To this end we analyse in a replica limit n=0 5-loop renormalization group functions of the $\phi^4$-theory with O(n)-symmetric and cubic interactions (H.Kleinert and V.Schulte-Frohlinde, Phys.Lett. B342, 284 (1995)). The minimal subtraction scheme allows to develop either the $\epsilon^{1/2}$-expansion series or to proceed in the 3d approach, performing expansions in terms of renormalized couplings. Doing so, we compare both perturbation approaches and discuss their convergence and possible Borel summability. To study the crossover effect we calculate the effective critical exponents providing a local measure for the degree of singularity of different physical quantities in the critical region. We report resummed numerical values for the effective and asymptotic critical exponents. Obtained within the 3d approach results agree pretty well with recent Monte Carlo simulations. $\epsilon^{1/2}$-expansion does not allow reliable estimates for d=3.Comment: 35 pages, Latex, 9 eps-figures included. The reference list is refreshed and typos are corrected in the 2nd versio