Explaining and Forecasting Exchange Rates with Order Flows (notice n° 236423)
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| 000 -LEADER | |
|---|---|
| fixed length control field | 02564cam a2200289 4500500 |
| 005 - DATE AND TIME OF LATEST TRANSACTION | |
| control field | 20250112064056.0 |
| 041 ## - LANGUAGE CODE | |
| Language code of text/sound track or separate title | fre |
| 042 ## - AUTHENTICATION CODE | |
| Authentication code | dc |
| 100 10 - MAIN ENTRY--PERSONAL NAME | |
| Personal name | Lyons, Richard Kent |
| Relator term | author |
| 245 00 - TITLE STATEMENT | |
| Title | Explaining and Forecasting Exchange Rates with Order Flows |
| 260 ## - PUBLICATION, DISTRIBUTION, ETC. | |
| Date of publication, distribution, etc. | 2003.<br/> |
| 500 ## - GENERAL NOTE | |
| General note | 90 |
| 520 ## - SUMMARY, ETC. | |
| Summary, etc. | RésuméCet article présente les principaux enseignements tirés de l’application des modèles de la microstructure financière à l’analyse de la détermination et de la prévision des taux de change. Le résumé introductif met en évidence sept leçons qui montrent que des mesures différentes des flux de transaction (c’est-à-dire les flux inter-bancaires versus les flux entre utilisateurs finaux) permettent d’expliquer les rendements courants et de prévoir des rendements futurs. La deuxième partie traite de trois sujets fondamentaux : la manière dont les mesures des flux de transaction diffèrent ; les relations de causalité entre les flux de transaction et les rendements, et quelles conclusions en tirer ; enfin, les stratégies permettant d’identifier les déterminants sous-jacents des flux. L’article conclut par une présentation de résultats empiriques qui étayent les sept leçons présentées dans le résumé introductif.Classification JEL : F31 ; G14 ; G15. |
| 520 ## - SUMMARY, ETC. | |
| Summary, etc. | This paper summarizes key lessons learned from using models from microstructure finance to explain and forecast exchange rates. The first section is an executive summary, which outlines seven lessons that pertain to how different transaction-flow measures (e.g., interbank flows versus end-user flows) perform in explaining concurrent returns and forecasting future returns. Section 2 addresses three overarching topics, including : (1) how various transaction-flow measures differ, (2) causality between transaction flows and returns and how to think about it, and (3) strategies for pinning down underlying flow drivers. Section 3 addresses empirical results underlying the seven lessons in section 1. JEL Classification : F31 ; G14 ; G15. |
| 690 ## - LOCAL SUBJECT ADDED ENTRY--TOPICAL TERM (OCLC, RLIN) | |
| Topical term or geographic name as entry element | fixation des prix |
| 690 ## - LOCAL SUBJECT ADDED ENTRY--TOPICAL TERM (OCLC, RLIN) | |
| Topical term or geographic name as entry element | microstructure |
| 690 ## - LOCAL SUBJECT ADDED ENTRY--TOPICAL TERM (OCLC, RLIN) | |
| Topical term or geographic name as entry element | taux de change |
| 690 ## - LOCAL SUBJECT ADDED ENTRY--TOPICAL TERM (OCLC, RLIN) | |
| Topical term or geographic name as entry element | prévision |
| 690 ## - LOCAL SUBJECT ADDED ENTRY--TOPICAL TERM (OCLC, RLIN) | |
| Topical term or geographic name as entry element | flux d'ordre |
| 690 ## - LOCAL SUBJECT ADDED ENTRY--TOPICAL TERM (OCLC, RLIN) | |
| Topical term or geographic name as entry element | microstructure |
| 690 ## - LOCAL SUBJECT ADDED ENTRY--TOPICAL TERM (OCLC, RLIN) | |
| Topical term or geographic name as entry element | forecasting |
| 690 ## - LOCAL SUBJECT ADDED ENTRY--TOPICAL TERM (OCLC, RLIN) | |
| Topical term or geographic name as entry element | price determination |
| 690 ## - LOCAL SUBJECT ADDED ENTRY--TOPICAL TERM (OCLC, RLIN) | |
| Topical term or geographic name as entry element | exchange rates |
| 690 ## - LOCAL SUBJECT ADDED ENTRY--TOPICAL TERM (OCLC, RLIN) | |
| Topical term or geographic name as entry element | order flow |
| 786 0# - DATA SOURCE ENTRY | |
| Note | Économie internationale | 96 | 4 | 2003-12-01 | p. 107-127 | 1240-8093 |
| 856 41 - ELECTRONIC LOCATION AND ACCESS | |
| Uniform Resource Identifier | <a href="https://shs.cairn.info/revue-economie-internationale-2003-4-page-107?lang=en">https://shs.cairn.info/revue-economie-internationale-2003-4-page-107?lang=en</a> |
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