An empirical study on foreign exchange market liquidity using cluster point process
| Project/Area Number |
15K17089
|
|---|
| Research Category |
Grant-in-Aid for Young Scientists (B)
|
| Allocation Type | Multi-year Fund |
|---|
| Research Field |
Money/ Finance
|
|---|
| Research Institution | Hitotsubashi University |
|---|
Principal Investigator |
Yokouchi Daisuke 一橋大学, 大学院国際企業戦略研究科, 准教授 (50407144)
|
|---|
| Research Collaborator |
AOKI Yoshimitsu 株式会社QUICK
OHTSUKI Kentaro 株式会社QUICK
SAKUMA Yoshiyuki 一橋大学, 大学院国際企業戦略研究科
|
|---|
| Project Period (FY) |
2015-04-01 – 2017-03-31
|
| Project Status |
Completed (Fiscal Year 2016)
|
| Budget Amount *help |
¥3,510,000 (Direct Cost: ¥2,700,000、Indirect Cost: ¥810,000)
Fiscal Year 2016: ¥650,000 (Direct Cost: ¥500,000、Indirect Cost: ¥150,000)
Fiscal Year 2015: ¥2,860,000 (Direct Cost: ¥2,200,000、Indirect Cost: ¥660,000)
|
|---|
| Keywords | クラスタ点過程モデル / 外国為替取引 / 流動性 / 一般化逆ガウス分布 / 一般化双曲型分布 / チックデータ / 流動性指標 / 外国為替 / ティックデータ / 複合ポアソン過程 / 2分木アルゴリズム / レジーム |
|---|
| Outline of Final Research Achievements |
The aim of our study is to investigate relations between foreign exchange market regimes and pricing mechanism of foreign exchange rate by using a large amount of tick data. In order to extract regimes rigorously from tick data without arbitrariness, we proposed a new model of cluster marked point process based on generalized inverse Gaussian distribution and generalized hyperbolic distribution for describing regimes which appear in foreign exchange trades. By fitting our model to tick data of foreign exchange rate, we showed that tick data have little relations between trading volume and variation of exchange rate which previous studies proved by empirical analyses using daily data aggregating tick data.
|
Report
(3 results)
Research Products
(11 results)
