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Order Flow Information and Spot Rate Dynamics

In: Studies in Foreign Exchange Economics

Author

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  • Martin D. D. Evans
  • Dagfinn Rime

Abstract

The following sections are included:IntroductionDepreciation Rates and Order Flow InformationData Description and CharacteristicsEmpirical AnalysisConclusionAcknowledgementsAppendixReferences

Suggested Citation

  • Martin D. D. Evans & Dagfinn Rime, 2017. "Order Flow Information and Spot Rate Dynamics," World Scientific Book Chapters, in: Studies in Foreign Exchange Economics, chapter 17, pages 725-776, World Scientific Publishing Co. Pte. Ltd..
    • Handle: RePEc:wsi:wschap:9789813148543_0017
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    1. Moore, Megan & Cristofalo, Margaret & Dotolo, Danae & Torres, Nicole & Lahdya, Alexandra & Ho, Leyna & Vogel, Mia & Forrester, Mollie & Conley, Bonnie & Fouts, Susan, 2017. "When high pressure, system constraints, and a social justice mission collide: A socio-structural analysis of emergency department social work services," Social Science & Medicine, Elsevier, vol. 178(C), pages 104-114.
    2. Yu‐Lun Chen & Yin‐Feng Gau, 2022. "The information effect of order flows in foreign currency futures and spot markets," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 42(8), pages 1549-1572, August.
    3. Yayun Shen & Michael Faure, 0. "Green building in China," International Environmental Agreements: Politics, Law and Economics, Springer, vol. 0, pages 1-17.
    4. Han, Liyan & Xu, Yang & Yin, Libo, 2018. "Does investor attention matter? The attention-return relationships in FX markets," Economic Modelling, Elsevier, vol. 68(C), pages 644-660.
    5. Hasbrouck, Joel & Levich, Richard M., 2021. "Network structure and pricing in the FX market," Journal of Financial Economics, Elsevier, vol. 141(2), pages 705-729.
    6. Angelo Ranaldo & Paolo Santucci de Magistris, 2018. "Trading Volume, Illiquidity and Commonalities in FX Markets," Working Papers on Finance 1823, University of St. Gallen, School of Finance, revised Oct 2019.
    7. Bianco, Vincenzo & Scarpa, Federico, 2018. "Impact of the phase out of French nuclear reactors on the Italian power sector," Energy, Elsevier, vol. 150(C), pages 722-734.
    8. Unger, Elizabeth A. & Ulfarsson, Gudmundur F. & Gardarsson, Sigurdur M. & Matthiasson, Thorolfur, 2018. "The effect of wind energy production on cross-border electricity pricing: The case of western Denmark in the Nord Pool market," Economic Analysis and Policy, Elsevier, vol. 58(C), pages 121-130.
    9. Filippou, Ilias & Maurer, Thomas A. & Pezzo, Luca & Taylor, Mark P., 2024. "Importance of transaction costs for asset allocation in foreign exchange markets," Journal of Financial Economics, Elsevier, vol. 159(C).

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    JEL classification:

    • F31 - International Economics - - International Finance - - - Foreign Exchange

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