摘要
客户指令流一直以来都是外汇市场微观结构的研究重点。作者构建模型分析美元兑人民币的成交价格、客户指令流与预期之间的关系,发现增加1亿美元的正指令流(净结汇)可促使成交价格下跌约0.012个百分点;同时作为预期指标的成交价格正偏离中间价1个百分点将促使成交价格下跌0.37%。客户指令流所包含的信息与汇率决定理论有关。
Order flow is always the research emphasis in microstructure models. Author try to analyze the relations between trade price ,order flow and expectation, and find $ 100 million of net RMB purchases decreases the USD/CNY by about 0.012 percent, The trade price deviating from the middle price 1% decreases the USD/CNY by about 0.37 percent. Order flow is the proximate determinant of price in microstructure.
出处
《投资研究》
2016年第2期149-160,共12页
Review of Investment Studies
关键词
微观结构
指令流
预期
Market microstructure
Order flows
Expectation
