Quote from Dr Who:
Has anyone done a study on the amount of money required to move the FX market a given number of pips ?
I assume the boys playing via the interbank market know this.
Naturally this will varying according to the time of day etc but it would be interesting to see the data if there is any.
If anyone can help or point me in the direction of such data I'd be very grateful.
As mentioned, the answer is "a lot". How much is "a lot" is hard to quantify, but I have some examples as this is something I've been working on as well. There's the example of Bill Lipschutz who was short 3 billion USD when big news came out. It was afternoon in New York and he sold 300 million more to try to slow the market and it did not work. That's a few years ago, but even in NY at that time 300 million could not be done without moving the market too much.
There are documented interventions where you can go see directly. For example, when the BOJ intervened is easy to find on the Ministry of Finance or the BOJ's website. The dates and amounts are written. The last one was when the BOJ tried to weaken the yen in September and sold 2 trillion yen. The success of that is not guaranteed (talk to the SNB!) but that's another story.
I've been trying to find data explaining market moves from 1-10 days and again with Japan, the weekly data did not provide much help. I looked at equity, bonds and money market data but it's very volatile and even trends are hard to spot. One reason behind was to see traces of carry trade implemention and when bonds stopped behing bought so massively by domestic investors.
Other than that, I know large banks trading in the interbank market have codes referencing big buyers and mention if say, the BOE just bought 100 mil of any currency. In a liquid session, 100 mil is not much.
Time of day is important indeed. Last night I was looking at the EURSEK cross on the 5 min chart and sometimes there are no trade or movement for 5 mins.
