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  • Search: subject_exact:"Order flow"
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Year of publication
Subject
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order flow 137 Auftragseingang 97 New orders 97 Theorie 84 Theory 82 Market microstructure 78 Order flow 76 Marktmikrostruktur 72 Wechselkurs 57 Exchange rate 56 Devisenmarkt 51 Foreign exchange market 50 Wertpapierhandel 47 Securities trading 46 Schätzung 43 Estimation 42 Volatility 37 Volatilität 36 Deutschland 33 Börsenkurs 32 Germany 32 Share price 31 Microstructure 27 Order Flow 27 microstructure 27 Handelsvolumen der Börse 19 Trading volume 19 Asymmetrische Information 18 Exchange rates 18 exchange rate 18 Asymmetric information 17 Electronic trading 17 Elektronisches Handelssystem 17 Liquidity 15 market microstructure 14 forecasting 13 Bid-ask spread 12 Geld-Brief-Spanne 12 Japan 12 Monetary approach to exchange rates 12
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Online availability
All
Free 143 Undetermined 102 CC license 2
Type of publication
All
Book / Working Paper 178 Article 151 Journal 5 Other 3
Subcategories
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Article in journal 140 Working paper 136 Book section 10 Case study 4 Government document 4 Statistics 4 Proceedings 3
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Language
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English 222 Undetermined 75 German 39 Portuguese 1
Author
All
Rime, Dagfinn 27 Vitale, Paolo 13 Evans, Martin D. D. 12 Sarno, Lucio 10 Lyons, Richard K. 9 Osler, Carol 8 Cheung, Yin-Wong 7 King, Michael R. 7 Nolte, Ingmar 7 Ranaldo, Angelo 7 Breedon, Francis 6 Derviz, Alexis 6 Hautsch, Nikolaus 6 Marsh, Ian 6 Opschoor, Anne 6 Heinemann, Frank 5 Lillo, Fabrizio 5 MacDonald, Ronald 5 Nolte, Sandra 5 Breedon, Francis J. 4 Cerrato, Mario 4 Daniëls, Tijmen R. 4 Degryse, Hans 4 Dijk, Dick van 4 Dönges, Jutta 4 Evans, Martin 4 Gradojevic, Nikola 4 Hu, Jianfeng 4 Mihoci, Andrija 4 Moore, Michael J. 4 Pintér, Klára 4 Schmeling, Maik 4 Taylor, Nick 4 Wel, Michel van der 4 Cartea, Álvaro 3 Cebiroglu, Gökhan 3 Cheung, Yiu Chung 3 Fratzscher, Marcel 3 Frömmel, Michael 3 Gau, Yin-feng 3
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Institution
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C.E.P.R. Discussion Papers 10 Georgetown University, Department of Economics 7 European Central Bank 5 Norges Bank 4 Berlin / Statistisches Landesamt 3 Bank for International Settlements (BIS) 2 Berlin 2 Center for Financial Studies 2 EconWPA 2 Faculteit Economie en Bedrijfskunde, Universiteit Gent 2 Institut Arbeit und Wirtschaft 2 Magyar Nemzeti Bank (MNB) 2 Sonderforschungsbereich 649: Ökonomisches Risiko, Wirtschaftswissenschaftliche Fakultät 2 Swiss Finance Institute 2 Banca d'Italia 1 Bank of Greece 1 CESifo 1 Center for Economic Institutions, Institute of Economic Research 1 Center for Economic Research and Graduate Education and Economics Institute (CERGE-EI) 1 Centre Interuniversitaire de Recherche en Analyse des Organisations (CIRANO) 1 Departamento de Fundamentos del Análisis Económico II, Facultad de Ciencias Económicas y Empresariales 1 Department of Economics, Adam Smith Business School 1 Department of Economics, International Business School, Brandeis University 1 Deutschland / Statistisches Bundesamt 1 Dipartimento di Economia e Finanza (DEF), Libera Università Internazionale degli Studi Sociali Guido Carli (LUISS) 1 Dipartimento di Economia, Gestione, Società e Istituzioni, Università degli Studi del Molise 1 Econometric Society 1 Economics Department, Williams College 1 Europäische Kommission / Statistisches Amt 1 Faculty of Economics, Kyushu Sangyo University 1 Federal Reserve Bank of Philadelphia 1 Financial Markets Conference <2015, New York> 1 Handelshøgskolen, Universitetet i Stavanger 1 Hong Kong Institute for Monetary Research (HKIMR), Government of Hong Kong 1 Institute of Business and Economic Research (IBER), Walter A. Haas School of Business 1 Melbourne Institute of Applied Economic and Social Research (MIAESR), Faculty of Business and Economics 1 National Bureau of Economic Research 1 Nationale Bank van België/Banque national de Belqique (BNB) 1 Rimini Centre for Economic Analysis (RCEA) 1 School of Economics and Finance, Queen Mary 1
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Published in...
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CEPR Discussion Papers 10 Journal of international money and finance 9 The European Journal of Finance 7 Working Paper 7 Working Papers / Georgetown University, Department of Economics 7 The European journal of finance 6 ECB Working Paper 5 Working Paper Series / European Central Bank 5 International journal of finance & economics : IJFE 4 Journal of financial economics 4 Working Paper / Norges Bank 4 Working papers 4 CFS Working Paper Series 3 International journal of theoretical and applied finance 3 Journal of International Money and Finance 3 Journal of financial markets 3 Physica A: Statistical Mechanics and its Applications 3 Quantitative Finance 3 Working paper / Norges Bank 3 Annals of operations research ; volume 254, numbers 1/2 (July 2017) 2 Applied Economics Letters 2 BIS Working Papers 2 BOFIT Discussion Papers 2 Bulletin of the Czech Econometric Society 2 Börsen, Banken und Kapitalmärkte : Festschrift für Hartmut Schmidt zum 65. Geburtstag 2 CFS working paper series 2 CoFE Discussion Paper 2 Contemporary accounting research : a journal of the Canadian Academic Accounting Association 2 Digital finance : smart data analytics, investment innovation, and financial technology 2 Discussion paper / Tinbergen Institute 2 Diskussionsbeitrag 2 FAME Research Paper Series 2 Finance 2 Finance research letters 2 Gabler Edition Wissenschaft 2 International journal of services and operations management 2 Journal of Banking & Finance 2 Journal of Empirical Finance 2 Journal of Financial Markets 2 Journal of banking & finance 2
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Source
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ECONIS (ZBW) 186 RePEc 104 EconStor 28 Other ZBW resources 14 BASE 5
Showing 1 - 50 of 257
 
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Fee structure and order flow informativeness in the cryptocurrency market
Bozzetto, Christian; Sifat, Imtiaz; Nahidi, Narmin - 2026
Persistent link: https://ebvufind01.dmz1.zbw.eu/10015651248
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Intraday price pressure and order flow around U.S. Treasury auctions
Fleming, Michael J.; Liu, Weiling; Nguyen, Giang H. - 2026 - Revised July 2026
Using 33 years of intraday Treasury data, we provide the first high-frequency evidence on auction-day price pressure: yields rise in the hours before auction and reverse afterward. This pressure strengthens when dealers face tighter risk-bearing constraints and weakens when investor demand is...
Persistent link: https://ebvufind01.dmz1.zbw.eu/10015618080
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Back-run effects in private routing for cryptocurrency trading on the blockchain
Saito, Taiga; Takahashi, Akihiko; Gupta, Shivam - 2026
Persistent link: https://ebvufind01.dmz1.zbw.eu/10016082364
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Central bank reserves and currency volatility
Ferreira, Alex Luiz; Gozluklu, Arie; Mainente, Joao de … - 2026
Persistent link: https://ebvufind01.dmz1.zbw.eu/10016083997
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Foreign exchange order flow as a risk factor
Burnside, Craig; Cerrato, Mario; Zhang, Zhekai - 2023
Persistent link: https://ebvufind01.dmz1.zbw.eu/10014234202
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Message traffic and short-term illiquidity in high-speed markets
Abad Díaz, David; Perelló, Magdalena Massot; Nawn, … - 2025
Persistent link: https://ebvufind01.dmz1.zbw.eu/10015329701
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Shorting the dollar when global stock markets roar : the equity hedging channel of exchange rate determination
Ben Zeev, Nadav; Nathan, Daniel - 2023
Persistent link: https://ebvufind01.dmz1.zbw.eu/10014486893
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Cross-asset tandem trading and extraordinary volatility
Garrison, Robert; Jain, Pankaj K.; Paddrik, Mark - 2024
Persistent link: https://ebvufind01.dmz1.zbw.eu/10015110684
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Order flow-based microstructure analysis of the spot exchange rate in Zambia
Phiri, Sydney Chauwa; Chisha, Keegan; Chipili, Jonathan M. - 2023
Persistent link: https://ebvufind01.dmz1.zbw.eu/10014416176
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Order imbalance and commonality: Evidence from the options market
Omole, John; Sensoy, Ahmet; Gulay, Guzhan - 2022
Persistent link: https://ebvufind01.dmz1.zbw.eu/10015635822
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The order flow cost of index rolling in commodity futures markets
Irwin, Scott H.; Sanders, Dwight R.; Yan, Lei - 2023
Persistent link: https://ebvufind01.dmz1.zbw.eu/10014315487
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Order imbalance and commonality : evidence from the options market
Omole, John; Sensoy, Ahmet; Gulay, Guzhan - 2022
Using a market model and principal component analysis, we investigate the existence of common effects in order imbalance in the Borsa Istanbul's option market. Accordingly, we find the presence of commonality in order imbalance for call options and an even more dominant presence in put options....
Persistent link: https://ebvufind01.dmz1.zbw.eu/10012817765
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Order Flow and Exchange Rate Dynamics
Evans, Martin D. D.; Lyons, Richard K. - 2021
Macroeconomic models of nominal exchange rates perform poorly. In sample, R2 statistics as high as 10 percent are rare. Out of sample, these models are typically out-forecast by a na‹ve random walk. This paper presents a model of a new kind. Instead of relying exclusively on macroeconomic...
Persistent link: https://ebvufind01.dmz1.zbw.eu/10013221288
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Order Flow and Exchange Rate Dynamics
Evans, Martin D.D. - 1999
Book / Working Paper
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Deep order flow imbalance : extracting alpha at multiple horizons from the limit order book
Kolm, Petter N.; Turiel, Jeremy; Westray, Nicholas - 2023
Persistent link: https://ebvufind01.dmz1.zbw.eu/10014370626
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The currency that came in from the cold : capital controls and the information content of order flow
Breedon, Francis J.; Thórarinn G. Pétursson; Vitale, Paolo - 2023
Persistent link: https://ebvufind01.dmz1.zbw.eu/10014478208
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The currency that came in from the cold : capital controls and the information content of order flow
Breedon, Francis J.; Thórarinn G. Pétursson; Vitale, Paolo - 2021
Book / Working Paper
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Price-setting in the foreign exchange swap market: Evidence from order flow
Syrstad, Olav; Viswanath-Natraj, Ganesh - 2020
Persistent link: https://ebvufind01.dmz1.zbw.eu/10012661569
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Price-setting in the foreign exchange swap market : evidence from order flow
Syrstad, Olav; Viswanath-Natraj, Ganesh - 2022
Persistent link: https://ebvufind01.dmz1.zbw.eu/10013482168
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Price-setting in the foreign exchange swap market : evidence from order flow
Syrstad, Olav; Viswanath-Natraj, Ganesh - 2020
Book / Working Paper
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Adaptive order flow forecasting with multiplicative error models
Mihoci, Andrija; Ting, Christopher; Lu, Meng-Jou; … - 2022
Persistent link: https://ebvufind01.dmz1.zbw.eu/10013163515
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Order flows and financial investor impacts in commodity futures markets
Ready, Mark J.; Ready, Robert C. - 2022
Persistent link: https://ebvufind01.dmz1.zbw.eu/10013400134
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Order Flows and Financial Investor Impacts in Commodity Futures Markets
Ready, Mark - 2019
Book / Working Paper
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The information effect of order flows in foreign currency futures and spot markets
Chen, Yu-Lun; Gau, Yin-feng - 2022
Persistent link: https://ebvufind01.dmz1.zbw.eu/10013288004
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Response to 'Order Flows and Financial Investor Impacts in Commodity Futures Markets'
Henderson, Brian J. - 2019
Financial institutions that issue commodity-linked notes hedge their liabilities by buying commodity futures. Henderson, Pearson and Wang (2015) show that these futures trades impact commodity futures prices and interpret this as evidence that uninformed financial flows into the commodity...
Persistent link: https://ebvufind01.dmz1.zbw.eu/10012860708
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Macroeconomic news and exchange rates : exploring the role of order flow
Jabeen, Munazza; Rashid, Abdul - 2022
Persistent link: https://ebvufind01.dmz1.zbw.eu/10013256662
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Payment for order flow
Schuster, Gunnar; Raetz, Marius - 2022
Persistent link: https://ebvufind01.dmz1.zbw.eu/10013259795
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Informativeness of trades around macroeconomic announcements in the foreign exchange market
Wu, Zhen-Xing; Gau, Yin-feng - 2022
Persistent link: https://ebvufind01.dmz1.zbw.eu/10013357272
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Sunshine vs. predatory trading effects in commodity futures markets : new evidence from index rebalancing
Yan, Lei; Irwin, Scott H.; Sanders, Dwight R. - 2022
Persistent link: https://ebvufind01.dmz1.zbw.eu/10013451072
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40 Years of Experience with the National Market System (NMS) : Who Are the Winners and What Have We Learned?
2022
Chapter 1. Thoughts and Perspectives on 40th Anniversary of the National Market System (NMS) -- Chapter 2. Technology’s Challenge to Regulators -- Chapter 3. The Global View -- Chapter 4. Has NMS-Induced Competition Delivered? -- Chapter 5. Fair and Level Playing Fields: A Good Regulatory...
Persistent link: https://ebvufind01.dmz1.zbw.eu/10013270889
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FX trading and the exchange rate disconnect puzzle
Evans, Martin D. D. - 2018 - First draft
Persistent link: https://ebvufind01.dmz1.zbw.eu/10011973578
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Order Flow and Exchange Rate Dynamics
Evans, Martin D. D.; Lyons, Richard K. - 2021
Macroeconomic models of nominal exchange rates perform poorly. In sample, R2 statistics as high as 10 percent are rare. Out of sample, these models are typically out-forecast by a na‹ve random walk. This paper presents a model of a new kind. Instead of relying exclusively on macroeconomic...
Persistent link: https://ebvufind01.dmz1.zbw.eu/10013221288
Saved in:
Show one more version 1
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Order Flow and Exchange Rate Dynamics
Evans, Martin D.D. - 1999
Book / Working Paper
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Asymmetric information risk in FX markets
Ranaldo, Angelo; Somogyi, Fabricius - 2021
Persistent link: https://ebvufind01.dmz1.zbw.eu/10012650449
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Heterogeneous information content of global FX trading
Ranaldo, Angelo; Somogyi, Fabricius - 2018 - This Version: December 12, 2018
This work studies the information content of trades in the world's largest over-the-counter(OTC) market, the foreign exchange (FX) market. It analyses a novel, comprehensiveorder flow dataset, distinguishing amongst different groups of market participantsand covering a large cross-section of...
Persistent link: https://ebvufind01.dmz1.zbw.eu/10011906507
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Index option trading activity and market returns
Chordia, Tarun; Kurov, Alexander; Muravyev, Dmitriy; … - 2021
Persistent link: https://ebvufind01.dmz1.zbw.eu/10012506034
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Exchange Rates, Interest Rates and the Global Carry Trade
Evans, Martin D. D.; Rime, Dagfinn - 2017
Persistent link: https://ebvufind01.dmz1.zbw.eu/10012143913
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The effects of trade size and market depth on immediate price impact in a limit order book market
Manh Cuong Pham; Anderson, Heather Margot; Huu Nhan Duong; … - 2020
Persistent link: https://ebvufind01.dmz1.zbw.eu/10012503902
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Order flow and exchange rate comovement
Kleinbrod, Vincent M.; Li, Xiaoming - 2017
Persistent link: https://ebvufind01.dmz1.zbw.eu/10011788102
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Order Flow and Exchange Rate Co-Movement
Kleinbrod, Vincent - 2017
Book / Working Paper
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Audit office reputation shocks from gains and losses of major industry clients
Francis, Jere R.; Mehta, Mihir N.; Zhao, Wanli - 2017
Persistent link: https://ebvufind01.dmz1.zbw.eu/10011800282
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Audit Office Reputation Shocks from Gains and Losses of Major Industry Clients
Francis, Jere R. - 2017
Book / Working Paper
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How did order-flow impact bond prices during the European sovereign debt crisis?
Lin, Zhongguo; Hamill, Philip A.; Li, Youwei; Sun, Zhuowei - 2020
Persistent link: https://ebvufind01.dmz1.zbw.eu/10012440179
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Market making with alpha signals
Cartea, Álvaro; Wang, Yixuan - 2020
Persistent link: https://ebvufind01.dmz1.zbw.eu/10012270989
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Exchange rates, interest rates and the global carry trade
Evans, Martin D. D.; Rime, Dagfinn - 2017
Persistent link: https://ebvufind01.dmz1.zbw.eu/10011721903
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Dealer activity and macro fundamentals : new evidence from hybrid exchange rate models
Krohn, Ingomar; Moore, Michael J. - 2019
Persistent link: https://ebvufind01.dmz1.zbw.eu/10012139587
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Order flow and exchange rate dynamics in continuous time : new evidence from martingale regression
Guo, Zi-Yi - 2017
Persistent link: https://ebvufind01.dmz1.zbw.eu/10011789341
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Order flow analysis of cryptocurrency markets
Silantyev, Eduard - 2019
Persistent link: https://ebvufind01.dmz1.zbw.eu/10012223876
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How to Treat Benchmark Revisions? The Case of German Production and Orders Statistics
Knetsch, Thomas - 2016
Persistent link: https://ebvufind01.dmz1.zbw.eu/10012991167
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Order flow volatility and equity costs of capital
Chordia, Tarun; Hu, Jianfeng; Subrahmanyam, Avanidhar; … - 2019
Persistent link: https://ebvufind01.dmz1.zbw.eu/10012022640
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O conteúdo Informacional das transações, no mercado futuro de câmbio : uma investigação do caso brasileiro
Sulzbach, Vanessa Neumann; Mergulhão, João; Pereira, … - 2016
Persistent link: https://ebvufind01.dmz1.zbw.eu/10011586128
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Expectation errors in the foreign exchange market
Ferreira, Alex Luiz; Moore, Michael J.; Mukherjee, Satrajit - 2019
Persistent link: https://ebvufind01.dmz1.zbw.eu/10012135194
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Common Factors, Order Flows, and Exchange Rate Dynamics
Fourel, Valère - 2015
We built the largest dataset of high-frequency exchange rates so far. Our sample covers the spot prices and order flows of 19 currency pairs over the last 15 years measured on Reuters and EBS at the thirty-second frequency. We show that common, price-based factors describe exchange rate dynamics...
Persistent link: https://ebvufind01.dmz1.zbw.eu/10013018659
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Ibi fas ubi proxima merces? : zur bilanz-(steuer-)rechtlichen Qualifikation sog. Auftragserlangungskosten und deren strafrechtlicher Ahndung
Küting, Peter - 2019
Persistent link: https://ebvufind01.dmz1.zbw.eu/10011978224
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Assessing Measures of Order Flow Toxicity and Early Warning Signals for Market Turbulence
Andersen, Torben - 2015
Following the much publicized "flash crash" in the U.S. financial markets on May 6, 2010, much work has been done in terms of developing reliable warning signals for impending market stress. However, this has met with limited success, except for one measure. The VPIN, or Volume-synchronized...
Persistent link: https://ebvufind01.dmz1.zbw.eu/10013035365
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Order flow information and spot rate dynamics
Evans, Martin D. D.; Rime, Dagfinn - 2016
Persistent link: https://ebvufind01.dmz1.zbw.eu/10011711887
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Order flow information and spot rate dynamics
Evans, Martin D. D.; Rime, Dagfinn - 2015 - First draft
Edition: First draft
Book / Working Paper
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Market price of trading liquidity risk and market depth
Kijima, Masaaki; Ting, Christopher - 2019
Persistent link: https://ebvufind01.dmz1.zbw.eu/10012183242
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