A Study of the Relationships between Exchange Rate and Order Flow－the Example of Cointegration and Error Correction Model
碩士 === 國立高雄應用科技大學 === 國際企業系 === 98 === In this paper,we use cointegration and VAR - error correction model to test the relationship between exchange rate returns and order flow. This study takes the tick-by-tick and minutely data from electronic brokerage services EBS, including EUR / USD and USD/J...
| Main Authors: | , |
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| Other Authors: | |
| Format: | Others |
| Language: | zh-TW |
| Published: |
2010
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| Online Access: | http://ndltd.ncl.edu.tw/handle/98890194358883586563 |