HIGH-FREQUENCY ORDER-FLOW IMBALANCE AND INTRADAY PKR/USD EXCHANGE-RATE DYNAMICS: AN EMPIRICAL ANALYSIS

Abstract

This study looks at how the PKR/USD exchange rate changes during the day due to it being unbalanced. The purpose of this investigation is to determine how solutions at high frequencies discover short-term volatility between the Pakistani Rupee and the U.S. Dollar (USD). A couple of studies have already shown how important order flow is for market price prediction, but those studies never really based themselves on the PKR/USD currency and if it was a high frequency trading then they probably aren't as accurate. This project looks at how trends in the amount of foreign cash, coming and going, influence how quickly the rupee's value might change during a day. According to the results a big reason for price changes is having one currency order better than the other, one. The study contributed to learning how high frequency trading works which helps the people who have power to control something, the traders, control it better. The study's conclusions already convince whomever they're talking to that bigger, more often used data can help predict and plan for changing exchange rates in Pakistan and countries that are similar.

Keywords: High-frequency trading, order-flow imbalance, PKR/USD exchange rate, machine learning, intraday volatility, foreign exchange market, emerging markets.