Timing Exchange Rates Using Order Flow: The Case of the Loonie
Timing Exchange Rates Using Order Flow: The Case of the Loonie
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使用订单流确定汇率时机：加元的案例
DOI：
10.2139/ssrn.1566895
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发表时间：
2010
期刊：
影响因子：
--
通讯作者：
Elvira Sojli
中科院分区：
文献类型：
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作者：
M. King;Lucio Sarno;Elvira Sojli
本文采用1994-2005年加拿大元/美元（CAD）订单流的新数据集，研究了加元汇率与外汇订单流之间的关系。我们实证研究的预测信息含量和订单流的决定因素。研究结果表明，订单流有很强的样本外预测能力CAD回报，产生显着的市场择时能力和有形的经济收益在程式化的动态资产配置的背景下。就其决定因素而言，订单流似乎不仅反映了文献中通常建议的宏观经济变量菜单，而且与商品价格波动密切相关，正如预期的“商品货币”。
This paper examines the relation between the Canadian dollar/US dollar (CAD) exchange rate and foreign exchange order flow employing a novel data set on CAD order flow over the period 1994-2005. We investigate empirically the predictive information content and the determinants of order flow. The results suggest that order flow has strong out-of-sample predictive power for CAD returns, yielding significant market timing ability and tangible economic gains in a stylized dynamic asset allocation context. In terms of its determinants, order flow appears to reflect not only the menu of macroeconomic variables typically suggested in the literature but is also closely related to commodity price fluctuations, as expected from a 'commodity currency'.
DOI：
10.2139/ssrn.334762
发表时间：
2005-01
期刊：
American Finance Association Meetings (AFA)
影响因子：
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作者：
Yufeng Han
通讯作者：
Yufeng Han