Understanding order flow
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Martin D. D. Evans; Richard K. Lyons
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Article
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2006
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John Wiley and Sons
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English
β 221 KB
## Abstract This paper develops a model for understanding endβuser order flow in the FX market. The model addresses several puzzling findings. First, the estimated priceβimpact of flow from different endβuser segments is, dollarβforβdollar, quite different. Second, order flow from segments traditio