Microstructure approach to the efficiency in the FX market
| Project/Area Number |
15K03558
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| Research Category |
Grant-in-Aid for Scientific Research (C)
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| Allocation Type | Multi-year Fund |
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| Section | 一般 |
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| Research Field |
Money/ Finance
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| Research Institution | Waseda University |
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Principal Investigator |
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| Project Period (FY) |
2015-04-01 – 2018-03-31
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| Project Status |
Completed (Fiscal Year 2017)
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| Budget Amount *help |
¥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)
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| 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 |
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| 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.
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Report
(4 results)
Research Products
(11 results)
