Berger, David W.; Chaboud, Alain P.; Chernenko, Sergey V.; … - In: Journal of International Economics 75 (2008) 1, pp. 93-109
We analyze the association between order flow and exchange rates using a new dataset representing a majority of global interdealer transactions in the two most-traded currency pairs at the one minute frequency over a six-year time period. This long span of high-frequency data allows us to gain...