文章基本信息

标题："Microstructure order flow: statistical and economic evaluation of nonlinear forecasts
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作者：Mario Cerrato, Hyunsok Kim ; Ronald MacDonald
期刊名称：Departmental Discussion Papers / University of Glasgow, Department of Economics
出版年度：2010
卷号：1
出版社：University of Glasgow, Department of Economics
摘要：In this paper we propose a novel empirical extension of the standard market microstructure order .ow model. The main idea is that heterogeneity of beliefs in the foreign exchange market can cause model instability and such instability has not been fully accounted for in the existing empirical literature. We investigate this issue using two di¤erent data sets and focusing on out- of-sample forecasts. Forecasting power is measured using standard statistical tests and, additionally, using an alternative approach based on measuring the economic value of forecasts after building a portfolio of assets. We .nd there is a substantial economic value on conditioning on the proposed models.
关键词：microstructure, order .ow, forecasting