Reitz, Stefan; Schmidt, Markus; Taylor, Mark - In: The European Journal of Finance 17 (2011) 2, pp. 153-168
This paper empirically investigates the Evans and Lyons' [2002. Understanding order flow. International Journal of Finance and Economics 11: 3-23] model of the foreign exchange market from a dealer's perspective. We provide evidence of the suggested information aggregation process using a rich...