Macroeconomic Order Flows: Explaining Equity and Exchange Rate Returns
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- Menkhoff, Lukas & Schmeling, Maik, 2010.
"Whose trades convey information? Evidence from a cross-section of traders,"
Journal of Financial Markets, Elsevier, vol. 13(1), pages 101-128, February.
- Menkhoff, Lukas & Schmeling, Maik, 2007. "Whose trades convey information? Evidence from a cross-section of traders," Hannover Economic Papers (HEP) dp-357, Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät.
- Martin D. D. Evans & Richard K. Lyons, 2017.
"Understanding Order Flow,"
World Scientific Book Chapters, in: Studies in Foreign Exchange Economics, chapter 13, pages 507-546,
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- Martin D. D. Evans (Georgetown University), 2005. "Understanding Order Flow," Working Papers gueconwpa~05-05-19, Georgetown University, Department of Economics.
- Martin D. D. Evans & Richard K. Lyons, 2005. "Understanding Order Flow," NBER Working Papers 11748, National Bureau of Economic Research, Inc.
- Ledenyov, Dimitri O. & Ledenyov, Viktor O., 2015. "Wave function method to forecast foreign currencies exchange rates at ultra high frequency electronic trading in foreign currencies exchange markets," MPRA Paper 67470, University Library of Munich, Germany.
- Berger, David W. & Chaboud, Alain P. & Chernenko, Sergey V. & Howorka, Edward & Wright, Jonathan H., 2008.
"Order flow and exchange rate dynamics in electronic brokerage system data,"
Journal of International Economics, Elsevier, vol. 75(1), pages 93-109, May.
- David W. Berger & Alain P. Chaboud & Sergey V. Chernenko & Edward Howorka & Jonathan H. Wright, 2006. "Order Flow and Exchange Rate Dynamics in Electronic Brokerage System Data," International Finance Discussion Papers 830, Board of Governors of the Federal Reserve System (U.S.).
More about this item
Keywordsequities; exchange rates; international macroeconomics; microstructure;
All these keywords.
- F30 - International Economics - - International Finance - - - General
- F31 - International Economics - - International Finance - - - Foreign Exchange
- G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
- G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-FMK-2005-06-14 (Financial Markets)
- NEP-IFN-2005-06-14 (International Finance)
- NEP-MAC-2005-06-14 (Macroeconomics)
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