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End-user order flow and exchange rate dynamics - a dealer's perspective

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  • Stefan Reitz
  • Markus Schmidt
  • Mark Taylor

Abstract

This paper empirically investigates the Evans and Lyons' [2002. Understanding order flow. International Journal of Finance and Economics 11: 3-23] model of the foreign exchange market from a dealer's perspective. We provide evidence of the suggested information aggregation process using a rich database on a German bank's end-user order flow from 2002 to 2003. Although customer order flow is unambiguously the vehicle incorporating non-public information into exchange rates over time, our empirical analysis does not support the idea that customer order flow is a high-powered source of information easily exploitable for short-run speculation.

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File URL: http://www.tandfonline.com/doi/abs/10.1080/13518471003651925
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Bibliographic Info

Article provided by Taylor & Francis Journals in its journal The European Journal of Finance.

Volume (Year): 17 (2011)
Issue (Month): 2 ()
Pages: 153-168

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Handle: RePEc:taf:eurjfi:v:17:y:2011:i:2:p:153-168

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Related research

Keywords: foreign exchange; market microstructure; end-user order flow;

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Cited by:
  1. Reitz, Stefan & Schmidt, Markus & Taylor, Mark P., 2009. "Financial Intermediation and the Role of Price Discrimination in a Two-Tier Market," MPRA Paper 15602, University Library of Munich, Germany.
  2. Emanuel Kohlscheen, 2013. "Order Flow and the Real: Indirect Evidence of the Effectiveness of Sterilized Interventions," BIS Working Papers 426, Bank for International Settlements.

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