Cerrato, Mario; Sarantis, Nicholas; Saunders, Alex - In: Journal of Banking & Finance 35 (2011) 8, pp. 1892-1906
This paper examines the effect that heterogeneous customer orders flows have on exchange rates by using a new, and the largest, proprietary dataset of weekly net order flow segmented by customer type across nine of the most liquid currency pairs. We make several contributions. Firstly, we...