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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. doi:10.1111/j.1538-4616.2008.00129.x 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 | ||||
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Subjects: | H Social Sciences > HB Economic Theory H Social Sciences > HG Finance |
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Divisions: | Faculty of Social Sciences > Economics Faculty of Social Sciences > Warwick Business School > Finance Group Faculty of Social Sciences > Warwick Business School |
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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: |
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Volume: | Vol.40 | ||||
Number: | No.4 | ||||
Number of Pages: | 43 | ||||
Page Range: | pp. 583-625 | ||||
DOI: | 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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