Estimation of market expectation: A study in foreign exchange markets
| Project/Area Number |
24730277
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| Research Category |
Grant-in-Aid for Young Scientists (B)
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| Allocation Type | Multi-year Fund |
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| Research Field |
Public finance/Monetary economics
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| Research Institution | Waseda University |
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Principal Investigator |
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| Project Period (FY) |
2012-04-01 – 2015-03-31
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| Project Status |
Completed (Fiscal Year 2014)
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| 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)
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| 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 |
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| 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.
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Report
(4 results)
Research Products
(3 results)
