Opschoor, A.(., van der Wel, M., van Dijk, D. and Taylor, N. (2014). Order Flow and Volatility: An Empirical Investigation Journal of Empirical Finance, 28:185--201.
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Affiliated authors
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Publication year2014
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JournalJournal of Empirical Finance
We study the relationship between order flow and volatility. To this end we develop a comprehensive framework that simultaneously controls for the effects of macro announcements and order flow on prices and the effect of macro announcements on volatility. Using high-frequency 30-year U.S. Treasury bond futures data, we find a statistically and economically significant relationship between the absolute value of order flow and volatility. Moreover, this relationship is robust, inter alia, to a number of factors including the introduction of liquidity effects, use of data measured over a different frequency, and market conditions.