@TechReport{dp-331,
  author        = {Menkhoff, Lukas and Schmeling, Maik},
  astring       = {Lukas Menkhoff and Maik Schmeling},
  title         = {Local Information in Foreign Exchange Markets},
  month         = {April},
  year          = {2006},
  pages         = {31},
  size          = {297},
  number        = {331},
  language      = {en},
  keywords      = {Local information hypothesis, price impact, limit orders,
                  informed traders},
  jelclass      = {F31, D82},
  abstract      = {This study shows that order flow in a foreign exchange
                  market only has permanent price impact if it comes from
                  certain regions. These regions are - as predicted by the
                  local information hypothesis - centers of political and
                  financial decision making. It is revealing that orders from
                  other regions only show a very short-lived but no permanent
                  price impact. Local information is so important that it
                  carries over from the usually considered market orders to
                  aggressively-priced limit orders too. The finding is robust
                  to various market conditions, common news shocks and
                  consideration of feedback trading.}
}