The American Economic Review, Volume 96American Economic Association., 2006 |
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Página 559
... order flow is Ax , = S¦ Ax di . Imposing market equilibrium So be , di = 0 , which is equivalent to the sum of aggregate order flow and limit orders being zero , the equi- librium exchange rate is ( 15 ) S - 1 ( α1 + α2 ) P α2 - 1 Ax ...
... order flow is Ax , = S¦ Ax di . Imposing market equilibrium So be , di = 0 , which is equivalent to the sum of aggregate order flow and limit orders being zero , the equi- librium exchange rate is ( 15 ) S - 1 ( α1 + α2 ) P α2 - 1 Ax ...
Página 567
... Order Flow . - Order flow is computed as discussed in Section IE . Appen- dix D discusses further details for the case where the fundamental ƒ is a random walk . With x , defined as cumulative order flow , panel F reports the R2 of a ...
... Order Flow . - Order flow is computed as discussed in Section IE . Appen- dix D discusses further details for the case where the fundamental ƒ is a random walk . With x , defined as cumulative order flow , panel F reports the R2 of a ...
Página 569
... Order flow : R2 of regression of s , + 1 s , on x , + 1 − x , ( same as Figure 2F for k 1 ) . Observed fundamentals ... order flow and observed fundamentals changes when respectively σ , σ , T , and p , are varied , holding constant the ...
... Order flow : R2 of regression of s , + 1 s , on x , + 1 − x , ( same as Figure 2F for k 1 ) . Observed fundamentals ... order flow and observed fundamentals changes when respectively σ , σ , T , and p , are varied , holding constant the ...
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