Foreign Exchange Order Flow as a Risk Factor
收藏NBER2020-05-01 更新2025-01-04 收录
下载链接：
https://www.nber.org/papers/w27199
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资源简介：
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
提供机构：
美国国家经济研究局
创建时间：
2020-05-01
