Theoretical and empirical approaches to highly informational symmetric foreign exchange markets

使用高频数据集，我发现被认为是向汇率传达市场预期的订单流与汇率变动并不呈现高度正相关。这可能表明有序流由两个因素组成：信息因素和噪声因素。针对这个问题，我建立了将订单流分解为这两个因素的模型。我希望这种分解将使货币当局能够正确理解市场预期，并适时干预外汇市场。

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.