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Order flow, bid–ask spread and trading density in foreign exchange markets

Chen, Shikuan; Chien, Chih-Chung; Chang, Ming-Jen - In: Journal of banking & finance 36 (2012) 2, pp. 597-612

Persistent link: https://www.econbiz.de/10009511764

High-frequency information content in end-user foreign exchange order flows

Marsh, Ian; Miao, Teng - In: The European journal of finance 18 (2012) 9/10, pp. 865-884

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Multiscale analysis of foreign exchange order flows and technical trading profitability

Gradojevic, Nikola; Lento, Camillo - In: Economic modelling 47 (2015), pp. 156-165

Persistent link: https://www.econbiz.de/10011439041

LSTM forecasting foreign exchange rates using limit order book

Ito, Katsuki; Iima, Hitoshi; Kitamura, Yoshihiro - In: Finance research letters 47 (2022) 1, pp. 1-6

Persistent link: https://www.econbiz.de/10013455587

Trader Lead-Lag Networks and Order Flow Prediction

Challet, Damien - 2016

Using trader-resolved data, we document lead-lag relationships between groups of investors in the foreign exchange market. Because these relationships are systematic and persistent, order flow is predictable from trader-resolved order flow. We thus propose a generic method to exploit trader...

Persistent link: https://www.econbiz.de/10012983158