| Budget Amount *help |
¥28,340,000 (Direct Cost: ¥21,800,000、Indirect Cost: ¥6,540,000)
Fiscal Year 2016: ¥8,580,000 (Direct Cost: ¥6,600,000、Indirect Cost: ¥1,980,000)
Fiscal Year 2015: ¥6,500,000 (Direct Cost: ¥5,000,000、Indirect Cost: ¥1,500,000)
Fiscal Year 2014: ¥6,370,000 (Direct Cost: ¥4,900,000、Indirect Cost: ¥1,470,000)
Fiscal Year 2013: ¥6,890,000 (Direct Cost: ¥5,300,000、Indirect Cost: ¥1,590,000)
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| Outline of Final Research Achievements |
The EBS trading platform has allowed the bank computers with algorithm being directly connected to the EBS computer mid-2000s. Using the 1-second-slice high-frequency data, it was shown that occurrence of arbitrage violation has become much less frequent, and less persistent once happened, since mid-2000s. High-frequency trading contributed to market efficiency.
The Japanese monetary authority has intervened, selling the yen, buying the dollar more often than otherwise. The foreign reserves balance has continuously risen. The profit and loss of holding foreign reserves can be divided into interest income based on the US-Japan interest rate differential, realized gains and unrealized gains. A rigorous examination of data since 1973 shows the total profit has stayed in positive for most of the period.
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