Microstructure approach to the efficiency in the FX market

• Project/Area Number: 15K03558
• Research Category: Grant-in-Aid for Scientific Research (C)
• Allocation Type: Multi-year Fund
• Section: 一般
• Research Field: Money/ Finance
• Research Institution: Waseda University
• Principal Investigator: Kitamura Yoshihiro 早稲田大学, 社会科学総合学術院, 教授 (90409566)
• Project Period (FY): 2015-04-01 – 2018-03-31
• Project Status: Completed (Fiscal Year 2017)
• Budget Amount: ¥4,550,000 (Direct Cost: ¥3,500,000、Indirect Cost: ¥1,050,000); Fiscal Year 2017: ¥650,000 (Direct Cost: ¥500,000、Indirect Cost: ¥150,000); Fiscal Year 2016: ¥1,560,000 (Direct Cost: ¥1,200,000、Indirect Cost: ¥360,000); Fiscal Year 2015: ¥2,340,000 (Direct Cost: ¥1,800,000、Indirect Cost: ¥540,000)
• Keywords: マイクロストラクチャー / VPIN / オーダー・フロー / 市場効率性 / 瞬時的価格変化事前予測 / 為替レート / 情報効率性 / 高頻度データー

Outline of Final Research Achievements

By focusing on the informational role of order flow, I analyze the market efficiency of foreign exchange rate market. Order flow is the net buyer-initiated trade and reflects information about the exchange rate. I estimate the speed of exchange rate discovering this information to examine the market efficiency in the foreign exchange rate market. As my research contribution, I have published the five journal articles regarding this research.

Research Products

• [Int'l Joint Research] La Trobe University(Australia)
• [Int'l Joint Research] La Trobe University(Australia)
• [Journal Article] Predicting a flash crash in the yen/dollar foreign exchange market (2017)
  • Author(s): Kitamura, Yoshihiro
  • Journal Title: Applied Economics Letters Volume: 14(4) Issue: 14 Pages: 987990-987990
  • DOI: 10.1080/13504851.2016.1245831
  • Peer Reviewed
• [Journal Article] A stopping time approach to assessing the effectiveness of foreign exchange intervention: An application to Japanese data (2017)
  • Author(s): Kitamura, Yoshihiro
  • Journal Title: Journal of International Money and Finance Volume: 75 Pages: 3246-3246
  • DOI: 10.1016/j.jimonfin.2017.04.005
  • Peer Reviewed
• [Journal Article] Simple measures of market efficiency: A study in foreign exchange markets (2017)
  • Author(s): Kitamura, Y.
  • Journal Title: Japan and the World Economy Volume: 41 Pages: 1-16
  • DOI: 10.1016/j.japwor.2016.11.001
  • Peer Reviewed / Acknowledgement Compliant
• [Journal Article] The probability of informed trading measured with price impact, price reversal, and volatility (2016)
  • Author(s): Yoshihiro Kitamura
  • Journal Title: Journal of International Financial Markets, Institutions and Money Volume: 42 Pages: 77-90
  • DOI: 10.1016/j.intfin.2016.02.001
  • Peer Reviewed / Acknowledgement Compliant
• [Journal Article] Does the simple microstructure model tell the time of the FX intervention? A one day analysis of the Japanese FX intervention (2016)
  • Author(s): Yoshihiro Kitamura
  • Journal Title: Research in International Business and Finance Volume: 36 Pages: 436-446
  • DOI: 10.1016/j.ribaf.2015.10.007
  • Peer Reviewed / Acknowledgement Compliant
• [Presentation] Reconsideration for the day-of-the-week effect: A study in foreign exchange markets (2017)
  • Author(s): Kim, Jea H. Kitamura Yoshihiro
  • Organizer: 日本ファイナンス学会
• [Presentation] New Assessment of the Japanese Foreign Exchange Intervention: A Stopping Time Approach (2015)
  • Author(s): Yoshihiro Kitamura
  • Organizer: Western Economic Association International
  • Place of Presentation: Singapore
  • Year and Date: 2015-12-01
  • Int'l Joint Research
• [Presentation] Simple measures of market efficiency: A study in foreign exchange markets (2015)
  • Author(s): Yoshihiro Kitamura
  • Organizer: The 13th INFINITI Conference on International Finance
  • Place of Presentation: Slovenia
  • Year and Date: 2015-06-08
  • Int'l Joint Research
• [Remarks]
  • URL: http://researchers.waseda.jp/profile/en.abf0957d3e6dc57ef00c7e9f031c618e.html