Foreign Exchange Order Flow as a Risk Factor
从市场微观结构文献出发，提出一个基于订单流的新定价因子，用于解释按远期贴水和动量排序的货币收益截面差异，并发现金融客户是风险承担者，非金融客户提供流动性。
Abstract We propose a novel pricing factor for currency returns motivated by the market microstructure literature. Our factor aggregates order flow data to provide a measure of buying and selling pressure related to conventional currency trading strategies. It successfully prices the cross-section of currency returns sorted on the basis of forward discount and momentum. The association between our factor and currency returns differs according to the customer segment of the foreign exchange market. In particular, it appears that financial customers are risk-takers in the market, while nonfinancial customers serve as liquidity providers.