Help out a university student

squidgy_wiji · Jun 9, 2009

Hey guys I'm an Economics uni student and I'm writing my thesis on the Efficient Market hypothesis.

I'm analysing the effect of a central bank interest rate announcement on the currency pairs of that currency. E.g a Fed funds rate announcement and the changes in US/CAD, US/AUS, US/GBP etc.

To do this I need a days worth of minute by minute tick data for many currency pairs. I am only able to get 12 US currency pairs. Is there anywhere I can buy this kind of tick data at a reasonable price. I will probably need at least 50 different currency pairs.

I would really appreciate any help.

Rossini · Jun 9, 2009

Try e-signal's 'free' trial. The software is free for 30 days but you have to pay for the data feed, its about $50.

ns1000 · Jun 9, 2009

You should be able to work out the cross rates from a few pairs (e.g if you know £/$ and €/$ you can calculate €/£ without too much trouble). This should mean you need less data than you think, unless your dissertation is about how efficiently moves in one pair translate to the crosses. If you're looking at this, do remember to look at the bid / offer spread rather than mid price; more exotics are generally traded either as ndfs or as two-legs of dollar crosses (or a combination of the two) so the outright spreads are likely to be huge.

Good luck though

squidgy_wiji · Jun 9, 2009

Actually I will be analysing volume traded as well. So I will need data on actual trades. I am looking at differences in the way the pairs react to the same interest rate announcement. I.e how US/CAD, US/AUS, US/NZD, US/... reacts to a feds fund rate announcement.

Hoggums · Jun 9, 2009

Free tick data for several years here....

GAIN Capital Rate Data Archive

ns1000 · Jun 9, 2009

squidgy_wiji said:
Actually I will be analysing volume traded as well. So I will need data on actual trades. I am looking at differences in the way the pairs react to the same interest rate announcement. I.e how US/CAD, US/AUS, US/NZD, US/... reacts to a feds fund rate announcement.

Where are you getting your volume data? Much as I like the project, I don't think it's possible to collect volume data for FX. Price movement is really the only reliable FX data.

squidgy_wiji · Jun 9, 2009

Hoggums said:
Free tick data for several years here....

GAIN Capital Rate Data Archive

Thanks. I came accross that site but again there aren't that many pairs for a signle currency. I also need data on the volume traded.

Cheers anyway

squidgy_wiji · Jun 9, 2009

ns1000 said:
Where are you getting your volume data? Much as I like the project, I don't think it's possible to collect volume data for FX. Price movement is really the only reliable FX data.

I was able to get minute by minute tick data on futures contracts traded on the CME but I was only able to get this data for 12 different currency pairs. This data had volume.

ns1000 · Jun 9, 2009

squidgy_wiji said:
I was able to get minute by minute tick data on futures contracts traded on the CME but I was only able to get this data for 12 different currency pairs. This data had volume.

Right, but volume is miniscule compared to the interbank market. It's a reasonable stand in for price movement, but I wouldn't trust the volume data to be at all representative of the real (interbank) FX market, particularly in the likes of CZK or HUF. I guess it's a fair academic exercise, but you'll want to put in a load of caveats as to why the CME products are not a microcosm of the FX market as a whole.

jiggly · Jun 11, 2009

squidgy_wiji said:
I was able to get minute by minute tick data on futures contracts traded on the CME but I was only able to get this data for 12 different currency pairs. This data had volume.

you will have trouble getting volume data for any currency pairs not traded on a regulated exchange, such as the CME

there is no reliable 'volume' data in the spot market, just 'tick' volume, which is not the same as contracts traded., both types of volume are indicators of activity.

however since the CME has only a limited amount of tradable currency crosses, you will have to look to the spot market for more data

blancspa · Jun 11, 2009

I have tried to do smth similar for my dissertation but my teacher said that in current market conditions (last year) it wulnt be feasible, so I had to drop it.

Help out a university student

squidgy_wiji

Junior member

Rossini

Established member

ns1000

Established member

squidgy_wiji

Junior member

Hoggums

Senior member

ns1000

Established member

squidgy_wiji

Junior member

squidgy_wiji

Junior member

ns1000

Established member

jiggly

Well-known member

blancspa

Established member

Similar threads