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

Table 2

Order flow ratio descriptive statistics at different horizons.

	5 minutes	10 minutes	15 minutes	20 minutes	25 minutes	30 minutes
Mean	0.031845	0.027866	0.026526	0.029278	0.025767	0.020082
Median	0.032796	0.043438	0.043140	0.015080	0.001379	0.023331
Maximum	1.000000	0.736842	0.709924	0.684211	0.531429	0.435780
Minimum	−1.000000	−0.729167	−0.725191	−0.531469	−0.517647	−0.428571
Std. dev.	0.392208	0.304738	0.270706	0.236041	0.219407	0.195233

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