Daníelsson, Jón; Luo, Jinhui; Payne, Richard - In: The European Journal of Finance 18 (2012) 9, pp. 823-840
The dependence of foreign exchange rates on order flow is investigated for four major exchange rate pairs, EUR/USD, EUR/GBP, GBP/USD and USD/JPY, across sampling frequencies ranging from 5 min to 1 week. Strong explanatory power is discovered for all sampling frequencies. We also uncover...
