Explaining and Forecasting Exchange Rates with Order Flows
This paper summarizes key lessons learned from using models from microstructure finance to explain and forecast exchange rates. The first section is an executive summary, which outlines seven lessons that pertain to how different transaction-flow measures (e.g., interbank flows versus end-user flows) perform in explaining concurrent returns and forecasting future returns. Section 2 addresses three overarching topics, including: (1) how various transaction-flow measures differ, (2) causality between transaction flows and returns and how to think about it, and (3) strategies for pinning down underlying flow drivers. Section 3 addresses empirical results underlying the seven lessons in section 1.
Volume (Year): (2003)
Issue (Month): 96 ()
|Contact details of provider:|| Postal: |
Phone: 33 01 53 68 55 00
Fax: 33 01 53 68 55 01
Web page: http://www.cepii.fr
More information through EDIRC
When requesting a correction, please mention this item's handle: RePEc:cii:cepiei:2003-4qe. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: ()
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If references are entirely missing, you can add them using this form.
If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.
Please note that corrections may take a couple of weeks to filter through the various RePEc services.