Order Flow and Exchange Rate Dynamics
提出一种新型汇率模型，引入微观结构金融中的订单流作为信息传递变量，对每日德国马克/美元对数变化的解释力超过60%，发现10亿美元净买入使美元价格上升0.5%。
This paper presents an exchange rate model of a new kind. Instead of relying exclusively on macroeconomic determinants, the model includes a determinant from the field of microstructure financeorder flow. Order flow is a determinant because it conveys information. This is a radically different approach to exchange rates. It is also strikingly successful. Our model of daily deutsche mark/dollar log changes produces an R2 statistic above 60 percent. For the deutsche mark/dollar spot market as a whole, we find that $1 billion of net dollar purchases increases the deutsche mark price of a dollar by 0.5 percent.