Chen, Pei-wen; Huang, Han-ching; Su, Yong-chern - In: Pacific-Basin Finance Journal 29 (2014) C, pp. 239-260
This paper investigates the empirical relation between order imbalance and intraday NTD/USD exchange rate dynamics. Using one-year high frequency data, we demonstrate that interbank order imbalances have substantial explanatory power for concurrent exchange rate returns both on the daily and...