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Commercially available order flow data and exchange rate movements : Caveat emptor

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Sager, Michael and Taylor, Mark P.. (2008) Commercially available order flow data and exchange rate movements : Caveat emptor. Journal of Money, Credit & Banking, Vol.40 (No.4). pp. 583-625. ISSN 0022-2879

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Official URL: http://dx.doi.org/10.1111/j.1538-4616.2008.00129.x

Abstract

Research suggests that customer order flow should help predict exchange rates. We make two contributions. First, we provide a review of the recent literature on order flow and exchange rate movements. Second, we critically evaluate the practical value of customer order flow data that are commercially available to the wider market, as well as the forecasting properties of inter-dealer order flow. In line with microstructure theory, we find little evidence that the latter can forecast exchange rates, but our results also cast considerable doubt on the practical value to market practitioners of commercially available customer order flow data.

Item Type:

Journal Article

Subjects:

H Social Sciences > HB Economic Theory
H Social Sciences > HG Finance

Divisions:

Faculty of Social Sciences > Economics
Faculty of Social Sciences > Warwick Business School > Finance Group
Faculty of Social Sciences > Warwick Business School

Library of Congress Subject Headings (LCSH):

Foreign exchange market, Economic forecasting

Journal or Publication Title:

Journal of Money, Credit & Banking

Publisher:

Wiley-Blackwell Publishing, Inc.

ISSN:

0022-2879

Official Date:

June 2008

Dates:

Date	Event
June 2008	Published

Volume:

Vol.40

Number:

No.4

Number of Pages:

Page Range:

pp. 583-625

Identification Number:

10.1111/j.1538-4616.2008.00129.x

Status:

Peer Reviewed

Publication Status:

Published

Access rights to Published version:

Restricted or Subscription Access

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