Estimation of market expectation: A study in foreign exchange markets

Research Project

Project/Area Number	24730277
Research Category	Grant-in-Aid for Young Scientists (B)
Allocation Type	Multi-year Fund
Research Field	Public finance/Monetary economics
Research Institution	Waseda University
Principal Investigator	KITAMURA Yosihihiro 早稲田大学, 社会科学総合学術院, 教授 (90409566)
Project Period (FY)	2012-04-01 – 2015-03-31
Project Status	Completed (Fiscal Year 2014)
Budget Amount *help	¥3,770,000 (Direct Cost: ¥2,900,000、Indirect Cost: ¥870,000) Fiscal Year 2014: ¥780,000 (Direct Cost: ¥600,000、Indirect Cost: ¥180,000) Fiscal Year 2013: ¥1,690,000 (Direct Cost: ¥1,300,000、Indirect Cost: ¥390,000) Fiscal Year 2012: ¥1,300,000 (Direct Cost: ¥1,000,000、Indirect Cost: ¥300,000)
Keywords	為替レート / 市場期待 / マイクロストラクチャー / オーダーインバランス / オーダー・フロー / 高頻度データ / 国際情報交換 / 外国為替市場
Outline of Final Research Achievements	This research proposed the way to estimate market expectation in foreign exchange rate market. This study found that order flow, which is the net buyer initiated trade, can predict future exchange rate changes. This empirical result indicates that order flows reflect the expectation of market participant which motivates the transaction of them, and private information generates that expectation. The above finding motivates me to estimate the market expectation by focusing on order flow in foreign exchange markets.

Report

(4 results)