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1、CurrencyOrderFlowandReal-TimeMacroeconomicInformationPasqualeDELLACORTEDag…nnRIMEImperialCollegeLondonNorgesBankp.dellacorte@imperial.ac.ukdagfinn.rime@norges-bank.noLucioSARNOIliasTSIAKASCassBusinessSchool&CEPRUniversityofGuelphlucio.sarno@city.ac.
2、ukitsiakas@uoguelph.caDecember2012Acknowledgements:TheauthorsareindebtedforconstructivecommentstoRuiAlbuquerque,PhilippeBac-chetta,EkkehartBoehmer,NicolaBorri,GiuseppeDeArcangelis,MartinEvans,CharlesJones,NengjiuJu,MichaelKing,RobertKosowski,Michael
3、Moore,MarcoPagano,AlessandroPalandri,LassePedersen,TarunRamadorai,ThomasStolper,AdrienVerdelhan,PaoloVitale,KathyYuan,SarahZhangandseminarparticipantsatLUISSGuidoCarliUniversity,UniversityofLugano,WarwickBusinessSchool,the2011CapitalMarketsandCorpora
4、teFinanceMeetingsinKunming,the2011CentralBankWorkshopontheMicrostructureofFinancialMarketsinStavanger,the2011ConferenceonAdvancesintheAnalysisofHedgeFundStrategiesinLondon,the2011WorkshoponFinan-cialDeterminantsofExchangeRatesinRome,the2012CFASociety
5、MasterclassSeriesinLondon,the2012SIREEconometricsWorkshopinGlasgow,the2012RiminiConferenceinEconomicsandFinanceinToronto,andthe2012NorthernFinanceAssociationConferenceinNiagaraFalls.WethankUBSforprovidingthecustomerorder‡owdatausedinthispaper.Sarnoac
6、knowledges…nancialsupportfromtheEconomicandSocialResearchCouncil(No.RES-062-23-2340).Tsiakasacknowledges…nancialsupportfromtheSocialSciencesandHumanitiesResearchCouncilofCanada.Theviewsexpressedinthispaperarethoseoftheauthors,andnotnecessarilythoseof
7、NorgesBank.Correspondingauthor:LucioSarno,CassBusinessSchool,CityUniversity,106BunhillRow,LondonEC1Y8TZ,UK.Email:lucio.sarno@city.ac.ukCurrencyOrderFlowandReal-TimeMacroeconomicInformationAbstractThispaperinvestigatesempiricallywhethercurrencyorder‡o
8、waggregatesdispersedreal-timemacroeconomicinformationusingauniquedatasetoncustomerorder‡owdisaggregatedacrossfourcustomergroupsfortheG10currenciesoveraten-yearsampleperiod.We…rstestablishthatcustomerorder‡owhassubstantialout-of-sampleforecastingabili
