Theoretical and empirical approaches to highly informational symmetric foreign exchange markets

使用高频数据集，我发现，订单流，这被认为是传达市场预期的外汇汇率，并没有显示出高度的正相关性与汇率变动。这可能表明，订单流包括两个因素：信息和噪音。针对这一问题，笔者构建了将订单流分解为这两个因素的模型。笔者希望这种分解能够帮助货币当局正确理解市场预期，并在适当的时机对外汇市场进行干预。

Using high frequency data set, I found that order flows, which are considered to convey market expectation to a foreign exchange rate, do not show a highly positive correlation with exchange rate movement. This possibly indicates that order flows consist of the two factors ; informational and noise ones. For this issue, I built the model which decomposes order flows into those two factors. I hope that this decomposition will enable a monetary authority to understand marker expectation correctly and intervene into foreign exchange market at adequate timing.