Understanding Order Flow
Understanding Order Flow
复制标题
了解订单流
DOI：
10.1142/9789813148543_0013
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发表时间：
2005
期刊：
影响因子：
--
通讯作者：
Richard K. Lyons
中科院分区：
文献类型：
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作者：
Martin D. D. Evans;Richard K. Lyons
本文开发了一个模型来理解外汇市场中最终用户的订单流。该模型解决了几个令人困惑的发现。首先，按美元计算，来自不同终端用户群体的流量对价格的估计影响是相当不同的。其次，传统上被认为是流动性驱动的部门的订单流实际上具有预测汇率的能力。第三，订单流预测未来1个月汇率的能力中，约有三分之一来自于流量预测未来流量的能力，而剩下的三分之二适用于与未来流量无关的价格成分。我们表明，在订单流为做市商提供有关宏观经济状况的及时信息的情况下，所有这些特征都是由终端用户异质性自然产生的。版权所有©2006约翰威利父子有限公司
This paper develops a model for understanding end-user order flow in the FX market. The model addresses several puzzling findings. First, the estimated price-impact of flow from different end-user segments is, dollar-for-dollar, quite different. Second, order flow from segments traditionally thought to be liquidity-motivated actually has power to forecast exchange rates. Third, about one-third of order flow's power to forecast exchange rates 1 month ahead comes from flow's ability to forecast future flow, whereas the remaining two-thirds applies to price components unrelated to future flow. We show that all of these features arise naturally from end-user heterogeneity, in a setting where order flow provides timely information to market-makers about the state of the macro-economy. Copyright © 2006 John Wiley & Sons, Ltd.