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来源类型Working Paper
规范类型报告
DOI10.3386/w11748
来源IDWorking Paper 11748
Understanding Order Flow
Martin D. D. Evans; Richard K. Lyons
发表日期2005-11-07
出版年2005
语种英语
摘要This paper develops a model for understanding end-user order flow in the FX market. The model addresses several puzzling findings. First, the estimated price-impact of flow from different end-user segments is, dollar-for-dollar, quite different. Second, order flow from segments traditionally thought to be liquidity-motivated actually has power to forecast exchange rates. Third, about one third of order flow's power to forecast exchange rates one month ahead comes from flow's ability to forecast future flow, whereas the remaining two-thirds applies to price components unrelated to future flow. We show that all of these features arise naturally from end-user heterogeneity, in a setting where order flow provides timely information to market-makers about the state of the macroeconomy.
主题International Economics ; International Finance ; International Macroeconomics ; Financial Economics ; Financial Markets
URLhttps://www.nber.org/papers/w11748
来源智库National Bureau of Economic Research (United States)
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资源类型智库出版物
条目标识符http://119.78.100.153/handle/2XGU8XDN/569398
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GB/T 7714
Martin D. D. Evans,Richard K. Lyons. Understanding Order Flow. 2005.
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