Information Flows in Foreign Exchange Markets: Dissecting Customer Currency Trades
研究了全球最大场外市场（外汇市场）中订单流的信息含量，发现订单流能有效预测未来汇率并具有经济价值，不同客户群体通过大型交易商中介有效分担风险，其预测能力、交易风格和风险暴露差异显著。
ABSTRACT We study the information in order flows in the world's largest over‐the‐counter market, the foreign exchange (FX) market. The analysis draws on a data set covering a broad cross‐section of currencies and different customer segments of FX end‐users. The results suggest that order flows are highly informative about future exchange rates and provide significant economic value. We also find that different customer groups can share risk with each other effectively through the intermediation of a large dealer, and differ markedly in their predictive ability, trading styles, and risk exposure.