Theoretical and empirical approaches to highly informational symmetric foreign exchange markets

Using high frequency data set, I found that order flows, which are considered to convey market expectation to a foreign exchange rate, do not show a highly positive correlation with exchange rate movement. This possibly indicates that order flows consist of the two factors ; informational and noise ones. For this issue, I built the model which decomposes order flows into those two factors. I hope that this decomposition will enable a monetary authority to understand marker expectation correctly and intervene into foreign exchange market at adequate timing.