Vincent Kleinbrod

Doctor of Philosophy, (Finance)
Study Completed: 2017
Massey Business School

Citation

Thesis Title
Essays on Exchange Rates

Read article at Massey Research Online: MRO icon

Exchange rate movements are heavily driven by one key variable namely order flow. Order flow is defined as signed trading volume or net of buyer- and seller-initiated transactions, showing the direction of the trade. What makes order flow so powerful in determining exchange rate movements is the fact that order flow creates a buying or selling pressure for a particular currency, causing it to appreciate or depreciate. Mr Kleinbrod's research investigated how order flow affects and predicts joint exchange rate movements, and evaluated the profitability of order-flow-based technical trading signals. He found that order flow is a key variable driving current and future exchange rate co-movements. Moreover, order flow information is shown to generate profitable trading signals for a currency trader.

Supervisors
Professor Xiaoming Li
Professor David Ding

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