2012 Fiscal Year Final Research Report
Theoretical Analysis of Exchange Rate Fluctuations and Applied Analysis of High Frequency Data
| Project/Area Number |
20243014
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| Research Category |
Grant-in-Aid for Scientific Research (A)
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| Allocation Type | Single-year Grants |
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| Section | 一般 |
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| Research Field |
Economic theory
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| Research Institution | The University of Tokyo |
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Principal Investigator |
ITO Takatoshi 東京大学, 大学院・経済学研究科, 教授 (30203144)
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| Co-Investigator(Renkei-kenkyūsha) |
HASHIMOTO Yuko 東洋大学, 経済学部, 准教授 (80333037)
YABU Tomoyoshi 筑波大学, システム情報工学研究科, 講師終了時点、慶応大学商学部准教授 (90463819)
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| Project Period (FY) |
2008 – 2012
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| Keywords | 為替レート / 高頻度データ / 介入 / オーダーフロー / ボラティリティー |
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| Research Abstract |
This theoretical and empirical research dealt with the unique data set that comes from the trading platform, EBS, of the major exchange rates. The record includes limit orders, deal prices and deal volumes, among others, in one-second time slice. The research belongs to a growing literature using the high-frequency data set. The following results were found in the research; Just before and after the announcement of important macroeconomic variables, the surprise (-actual - expected) components causes a fast movement in the exchange rate in the direction consistent with theory; The exchange rate movement in the second frequency is not consistent with a random walk hypothesis but with momentum trading strategy; Arbitrage opportunities in the form of negative spread and triangular arbitrage do exist, primarily because of credit lines among banks that are involved. However, the frequency and duration of such arbitrage opportunities have declined since 2005. The trend is correlated with the number of banks’ computers directly connected to the EBS system.
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