This paper proposes a set of novel pricing factors for currency returns that are motivated by microstructure models. In so doing, we bring two strands of the exchange rate literature, namely market-microstructure and risk-based models, closer together. Our novel factors use order flow data to...

We present a novel tool for generating speculative and hedging foreign exchange (FX) trading policies. Our solution provides a schedule that determines trades in each rebalancing period based on future currency prices, net foreign account positions, and incoming (outgoing) flows from business...