Evans, Martin D. D. (contributor); … - 2006
factors. Intraday event studies, such
2Order �ow is the cumulation over time of signed trades, where trades are signed … daily price variance. This is more than three times the explanatory power found in previous studies
(addressed below … studies
of news e�ects on currency prices account for less than 10 percent of total price variation. A good example
at the …