2017 Fiscal Year Final Research Report
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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| 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 |
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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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| Free Research Field |
国際金融 ファイナンス
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