English, Article, Journal or magazine article edition: An investigation of customer order flow in the foreign exchange market Mario Cerrato; Nicholas Sarantis; Alex Saunders

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Physical Description
  • preprint
Language
  • English

Edition details

Title
  • An investigation of customer order flow in the foreign exchange market
Author
  • Mario Cerrato
  • Nicholas Sarantis
  • Alex Saunders
Physical Description
  • preprint
Notes
  • This paper examines the effect that heterogeneous customer orders flows have on exchange rates by using a new propreitary dataset of weekly net order flow segmented by customer type across nine of the most liquid currency pairs. We make three contributions. First, we investigate the extent to which order flow can help to explain exchange rate movements over 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 the question of whether the out-of-sample exchange rate forecasts generated by order flows can be employed profitably in the foreign exchange markets.
  • Customer order flow; exchange rates; microstructure; forecasting
  • RePEc:gla:glaewp:2009_25
Language
  • English
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