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Cited by 953

The DOI matches its Crossref record; 1 of the 1 references it cites were found in a registry or an index.

Order Flow and Exchange Rate Dynamics

Evans, Martin D. D., Lyons, Richard K.·2002·Journal of Political Economy
DOI 10.1086/324391
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Abstract

This paper presents an exchange rate model of a new kind. Instead of relying exclusively on macroeconomic determinants, the model includes a determinant from the field of microstructure finance—order flow. Order flow is a determinant because it conveys information. This is a radically different approach to exchange rates. It is also strikingly successful. Our model of daily deutsche mark/dollar log changes produces an R2 statistic above 60 percent. For the deutsche mark/dollar spot market as a whole, we find that $1 billion of net dollar purchases increases the deutsche mark price of a dollar by 0.5 percent.

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Metadata

Authors
Evans, M. D. D., & Lyons, R. K.
Venue
Journal of Political Economy
Publisher
University of Chicago Press
Published
2002-02
Volume
110
Issue
1
Pages
170-180
ISSN
  • 0022-3808 (ISSN-L)
  • 1537-534X
DOI
10.1086/324391
OpenAlex
W4247454715
Cited by
953
References
1
FWCI
55.74
Type
journal article
Language
en
Open access
closed

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CoChat. (2026). Citation check: Order Flow and Exchange Rate Dynamics. https://app.cochat.ai/papers/10.1086/324391
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Evans, M. D. D., & Lyons, R. K. (2002). Order Flow and Exchange Rate Dynamics. Journal of Political Economy. https://doi.org/10.1086/324391

Data sources

Bibliographic data: Semantic Scholar, OpenAlex, Crossref.

Contains information from the Semantic Scholar Academic Graph Datasets, made available under the ODC Attribution License (ODC-BY 1.0).

Semantic Scholar’s data is described in: Kinney, R., et al. (2023). The Semantic Scholar Open Data Platform. arXiv:2301.10140.