| 来源类型 | Working Paper |
| 规范类型 | 报告 |
| DOI | 10.3386/w11748 |
| 来源ID | Working 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 |
| URL | https://www.nber.org/papers/w11748 |
| 来源智库 | National Bureau of Economic Research (United States) |
| 引用统计 | |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/569398 |
| 推荐引用方式 GB/T 7714 | Martin D. D. Evans,Richard K. Lyons. Understanding Order Flow. 2005. |
| 条目包含的文件 | ||||||
| 文件名称/大小 | 资源类型 | 版本类型 | 开放类型 | 使用许可 | ||
| w11748.pdf（294KB） | 智库出版物 | 限制开放 | CC BY-NC-SA | 浏览 | ||
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