Exchange Rate Determination and Forecasting: Can the Microstructure Approach Rescue Us from the Exchange Rate Disparity?

Table 1

Order flow descriptive statistics at different horizons.

	5 minutes	10 minutes	15 minutes	20 minutes	25 minutes	30 minutes
Mean	0.881667	1.763333	2.645000	3.526667	4.408333	5.290000
Median	1.500000	5.000000	8.000000	4.000000	1.000000	6.000000
Maximum	215.0000	269.0000	356.0000	410.0000	283.0000	324.0000
Minimum	−234.0000	−197.0000	−321.0000	−279.0000	−345.0000	−366.0000
Std. dev.	39.64055	58.94865	76.67211	90.37102	102.3269	115.9329

This table reports some summary statistics for order flow, measured in millions of dollars, at 5-minute frequency, and aggregated to 10-minute, 15-minute, 20-minute, 25-minute, and 30-minute frequencies.