Order Flow and Exchange Rate Dynamics in Brazil

2004 ◽  
Author(s):  
Otavio Ribeiro de Medeiros
Keyword(s):  
Exchange Rate ◽  
Order Flow ◽  
Exchange Rate Dynamics

scholarly journals Order Flow and Exchange Rate Dynamics in Electronic Brokerage System Data

2005 ◽  
Vol 2005 (830) ◽  
pp. 1-26
Author(s):  
David W. Berger ◽  
◽  
Alain P. Chaboud ◽  
Sergey V. Chernenko ◽  
Edward Howorka ◽  
...  
Keyword(s):  
Exchange Rate ◽  
Order Flow ◽  
Exchange Rate Dynamics ◽  
System Data

scholarly journals Order Flow and Exchange Rate Dynamics

2017 ◽  
pp. 247-290
Author(s):  
Martin D.D. Evans ◽  
Richard K. Lyons
Keyword(s):  
Exchange Rate ◽  
Order Flow ◽  
Exchange Rate Dynamics

scholarly journals Asymmetric Price Impacts of Order Flow on Exchange Rate Dynamics

2011 ◽  
Author(s):  
Viet Hoang Nguyen ◽  
Yongcheol Shin
Keyword(s):  
Exchange Rate ◽  
Order Flow ◽  
Exchange Rate Dynamics ◽  
Price Impacts

scholarly journals ORDER FLOW AND EXCHANGE RATE DYNAMICS: AN APPLICATION TO EMERGING MARKETS

2011 ◽  
Vol 17 (3) ◽  
pp. 290-304 ◽  
Author(s):  
Kwabena Duffuor ◽  
Ian W. Marsh ◽  
Kate Phylaktis
Keyword(s):  
Exchange Rate ◽  
Emerging Markets ◽  
Order Flow ◽  
Exchange Rate Dynamics

scholarly journals End-User Order Flow and Exchange Rate Dynamics

2007 ◽  
Author(s):  
Stefan Reitz ◽  
Markus A. Schmidt ◽  
Mark P. Taylor
Keyword(s):  
Exchange Rate ◽  
Order Flow ◽  
End User ◽  
Exchange Rate Dynamics

scholarly journals Order flow and exchange rate dynamics in electronic brokerage system data

2008 ◽  
Vol 75 (1) ◽  
pp. 93-109 ◽  
Author(s):  
David W. Berger ◽  
Alain P. Chaboud ◽  
Sergey V. Chernenko ◽  
Edward Howorka ◽  
Jonathan H. Wright
Keyword(s):  
Exchange Rate ◽  
Order Flow ◽  
Exchange Rate Dynamics ◽  
System Data

scholarly journals Order Flow and Exchange Rate Dynamics in Electronic Brokerage System Data

2005 ◽  
Vol 2005 (830r) ◽  
pp. 1-30
Author(s):  
David W. Berger ◽  
◽  
Alain P. Chaboud ◽  
Sergey V. Chernenko ◽  
Edward Howorka ◽  
...  
Keyword(s):  
Exchange Rate ◽  
Order Flow ◽  
Exchange Rate Dynamics ◽  
System Data

scholarly journals Order Flow and Exchange Rate Dynamics

10.3386/w7317 ◽  
1999 ◽  
Author(s):  
Martin D.D. Evans ◽  
Richard Lyons
Keyword(s):  
Exchange Rate ◽  
Order Flow ◽  
Exchange Rate Dynamics

Currency Order Flow and Exchange Rate Determination: Empirical Evidence from the Malaysian Foreign Exchange Market

2018 ◽  
Vol 19 (4) ◽  
pp. 902-920
Author(s):  
Abolaji Daniel Anifowose ◽  
Izlin Ismail ◽  
Mohd Edil Abd Sukor
Keyword(s):  
Exchange Rate ◽  
Foreign Exchange ◽  
Foreign Exchange Market ◽  
Empirical Test ◽  
Order Flow ◽  
Exchange Market ◽  
Vector Autoregressive ◽  
Exchange Rate Dynamics ◽  
Currency Exchange ◽  
Exchange Rate Movements

This article presents empirical test results of Malaysian foreign exchange market microstructure assessment of exchange rate dynamics. We apply vector autoregressive (VAR) model to estimate the influential role of currency order flow in the determination of the currency exchange rate for the Malaysian ringgit (MYR) against the US dollar (USD). We investigate whether currency order flow captures the movements of exchange rate of MYR against USD, and how the long-term and short-term components impact the relative estimation of MYR in the international market. We, construct a measure of order flow in the Malaysian foreign exchange market to reflect the pressure of currency excess demand. Our focus is on the cumulative currency order flow and the exchange rate relationship of MYR and USD. A hybrid model of order flow and exchange rate dynamics proposed by Evans and Lyons (2002a) is applied to the Malaysian foreign exchange market (MYR/USD) to analyse a dataset of every 15-minute currency order flow and exchange rate movements from January 2010 to December 2015. Our dataset has unique features in terms of the quality of the data, extensive period and precise high frequency. Our results show that currency order flow explains an important portion of the movements in the MYR–USD exchange rate.

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