Rosov, Sviatoslav; Foster, F. Douglas - In: Australian Journal of Management 39 (2014) 2, pp. 247-264
This paper investigates whether customer order flow conveys information about future foreign exchange (FX) prices. We use a unique data set from a leading Australian commercial bank that records every FX trade made by the bank in the spot Australian dollar/US dollar market between 2005 and 2010....