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Order Flow and Exchange Rate Dynamics · Study

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PreprintOrder Flow and Exchange Rate Dynamics

Richard K. Lyons1999

OA

Preprintgreen1999

Order Flow and Exchange Rate Dynamics

Richard K. Lyons · Martin D.D. Evans

183 citations·0/0 files stored·SSRN Electronic Journal

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Financial Markets and Investment Strategies Monetary Policy and Economic Impact Financial Risk and Volatility Modeling

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References

1993Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency 1985Continuous Auctions and Insider Trading 1985Bid, ask and transaction prices in a specialist market with heterogeneously informed traders 1976Expectations and Exchange Rate Dynamics 1983Empirical exchange rate models of the seventies 1995Exchange Rate Dynamics Redux 1995Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation 1986Do Demand Curves for Stocks Slope Down?

Cited by

2004Exchange rate puzzles: A tale of switching attractors 2006Arbitrage in the Foreign Exchange Market: Turning on the Microscope 2008Investor Sentiment, Trading Behavior and Informational Efficiency in Index Futures Markets 2007Order flow and exchange rate dynamics in electronic brokerage system data 2006Fixed versus flexible: Lessons from EMS order flow 2001The Microstructure of the Foreign-Exchange Market: A Selective Survey of the Literature

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Papers that cite the same references — the relational fallback while embeddings are still backfilling.

1999Order Flow and Exchange Rate Dynamicsreport · 24 shared references 2001The Microstructure of the Foreign-Exchange Market: A Selective Survey of the Literaturebook · 18 shared references 1995Chapter 33 Empirical research on nominal exchange rateschapter · 15 shared references 2006Macro lessons from microstructurearticle · 13 shared references 2010The dollar-euro exchange rate and macroeconomic fundamentals: a time-varying coefficient approacharticle · 12 shared references 2001Portfolio Balance, Price Impact, and Secret Interventionpreprint · 12 shared references

Details

Year1999

Typepreprint

Published1999-01-01

VenueSSRN Electronic Journal

ISSN-L1556-5068

Languageen

Citations183

Files0 public / 0

ShelfFinancial Markets and Investment Strategies

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doi10.2139/ssrn.174888

openalex_workW2158249746

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2002The temporal pattern of trading rule returns and exchange rate intervention: intervention does not generate technical trading profits

2005Order Flow and the Formation of Dealer Bids: Information Flows and Strategic Behavior in the Government of Canada Securities Auctions