The dynamic interaction of order flows and the CAD/USD exchange rate

Preprint OPEN
Nikola Gradojevic; Christopher J. Neely;
  • Subject: Foreign exchange rates

We explore the relationship between disaggregated order flow, the Canada/U.S. dollar (CAD/USD) market and U.S. macroeconomic announcements. Three types of CAD order flow and the CAD/USD are cointegrated. Financial order flow appears to contemporaneously drive the CAD/US... View more
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