Foreign Exchange Order Flow as a Risk Factor
收藏数据链接：
官方服务：
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
