Forecasting short term yield changes using order flow. Is dealer skill a source of predictability?
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References listed on IDEAS
- Lee, Charles M C & Ready, Mark J, 1991. " Inferring Trade Direction from Intraday Data," Journal of Finance, American Finance Association, vol. 46(2), pages 733-746, June.
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- Jakree Koosakul, 2016. "Daily Movements in the Thai Yield Curve: Fundamental and Non-Fundamental Drivers," PIER Discussion Papers 30., Puey Ungphakorn Institute for Economic Research, revised Jun 2016.
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Keywordsbonds; order flow;
- G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
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