market, and the ability of microstructure models based on order flow to outperform a naive random walk benchmark. If order … economy gradually, then order flow can have both explanatory and forecasting power for exchange rates. Using one year of high …

forecasting power for exchange rates. Using one year of high frequency data collected via a live feed from Reuters for three major …

the other hand using intraday data. We extend the existing literature on foreign exchange market microstructure by … macroeconomic and microstructure variables together can explain a non-negligible part of high frequency exchange rate movements and …

the other hand using intraday data. We extend the existing literature on foreign exchange market microstructure by … macroeconomic and microstructure variables together can explain a non-negligible part of high frequency exchange rate movements and …

order flow on the other hand. We extend the existing literature on foreign exchange market microstructure by considering a …

In this paper we propose a novel empirical extension of the standard market microstructure order flow model. The main … and focusing on out- of-sample forecasts. Forecasting power is measured using standard statistical tests and, additionally …

and above the influence of macroeconomic variables. Second, we look at the usefulness of order flow in forecasting … exchange rate movements at longer horizons than those generally considered in the microstructure literature. Finally we address …

This paper summarizes key lessons learned from using models from microstructure finance to explain and forecast … transaction-flow measures (e.g., interbank flows versus end-user flows) perform in explaining concurrent returns and forecasting …

The application of the market microstructure theory to foreign exchange markets in the last few years has introduced a … new approach to the analysis of exchange rates. The most important variable of the microstructure analysis, the so … data, but also at longer time horizons that are relevant for macro-economic analysis. Microstructure theory is thus …