Informativeness of Order Flow: The Role of Institutions vs. Individuals

2008 ◽  
Author(s):  
Woon K. Wong ◽  
Eric Girardin
Keyword(s):  
Order Flow

The Role of HFT's in Order Flow Toxicity and Stock Price Variance

2014 ◽  
Author(s):  
serhat Yildiz ◽  
Bonnie F. Van Ness ◽  
Robert A. Van Ness
Keyword(s):  
Stock Price ◽  
Order Flow

Macroeconomic News and Exchange Rates: Exploring the Role of Order Flow

2021 ◽  
pp. 097491012110401
Author(s):  
Munazza Jabeen ◽  
Abdul Rashid
Keyword(s):  
Exchange Rates ◽  
Private Information ◽  
Foreign Exchange Market ◽  
Order Flow ◽  
Time Data ◽  
Macroeconomic News ◽  
Public And Private ◽  
Market Makers ◽  
News Announcements

This article studies the effects of macroeconomic news announcements and order flow on exchange rates in Pakistan by considering both direct and indirect information channels during news announcements periods. For this purpose, it employs GARCH models by using real-time data on macroeconomic news, order flow, and exchange rates. The findings reveal that macroeconomic news directly, and indirectly affect Pak Rupee exchange rates. The results also show that the order flow drives fluctuations in Pak Rupee exchange rates indicating the role of trade signals and trading strategies of currency traders in the exchange rate determination. Hence, as part of an aggregated economic component and means of public and private information, macroeconomic news and order flow impact Pak Rupee exchange rates as an integrated determinant. When macroeconomic news strikes the foreign exchange market, it affects the decisions of market makers, influencing order flow, and then exchange rates.

The role of HFTs in order flow toxicity and stock price variance, and predicting changes in HFTs’ liquidity provisions

2016 ◽  
Vol 41 (4) ◽  
pp. 739-762 ◽  
Author(s):  
Bonnie F. Van Ness ◽  
Robert A. Van Ness ◽  
Serhat Yildiz
Keyword(s):  
Stock Price ◽  
Order Flow

What order flow reveals about the role of the underwriter in IPO aftermarkets

2009 ◽  
Vol 5 (1) ◽  
pp. 16-49 ◽  
Author(s):  
Michael Aitken ◽  
Frederick H. deB. ◽  
Thomas H. McInish ◽  
Kathryn Wong
Keyword(s):  
Order Flow

Dynamic Relations between International Equity and Currency Markets: The Role of Currency Order Flow*

2006 ◽  
Vol 79 (1) ◽  
pp. 219-258 ◽  
Author(s):  
Bill B. Francis ◽  
Iftekhar Hasan ◽  
Delroy M. Hunter
Keyword(s):  
Order Flow ◽  
Currency Markets ◽  
International Equity ◽  
Dynamic Relations

Cream-Skimming or Profit-Sharing? The Curious Role of Purchased Order Flow

1996 ◽  
Vol 51 (3) ◽  
pp. 811-833 ◽  
Author(s):  
DAVID EASLEY ◽  
NICHOLAS M. KIEFER ◽  
MAUREEN O'HARA
Keyword(s):  
Profit Sharing ◽  
Order Flow ◽  
Cream Skimming
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