Measuring the information content of customer foreign exchange orders

  title={Measuring the information content of customer foreign exchange orders},
  author={Sviatoslav Rosov and F. Douglas Foster},
  journal={Australian Journal of Management},
  pages={247 - 264}
This paper investigates whether customer order flow conveys information about future foreign exchange (FX) prices. We use a unique data set from a leading Australian commercial bank that records every FX trade made by the bank in the spot Australian dollar/US dollar market between 2005 and 2010. We find little evidence in support of a cointegrating relation or a statistically significant correlation between customer order flow and FX returns. However, consistent with the liquidity provision… 
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