Intraday Patterns in FX Returns and Order Flow
利用高频外汇数据集，发现货币在本地交易时段有显著贬值趋势，该模式在订单流中也有体现，可能与交易者在本地时段净买入外汇有关。
Using a comprehensive high‐frequency foreign exchange data set, we present evidence of time‐of‐day effects in foreign exchange returns through a significant tendency for currencies to depreciate during local trading hours. We confirm this pattern across a range of currencies and time zones. We also find that this pattern is reflected in order flow and suggest that both patterns relate to the tendency of market participants to be net purchasers of foreign exchange in their own trading hours. Data from a single market maker appears to corroborate that interpretation.