2011 Fiscal Year Final Research Report
Theoretical and empirical approaches to highly informational symmetric foreign exchange markets
| Project/Area Number |
21730251
|
|---|
| Research Category |
Grant-in-Aid for Young Scientists (B)
|
| Allocation Type | Single-year Grants |
|---|
| Research Field |
Public finance/Monetary economics
|
|---|
| Research Institution | Waseda University (2011)
University of Toyama (2009-2010) |
|---|
Principal Investigator |
|
|---|
| Project Period (FY) |
2009 – 2011
|
| Keywords | 高頻度データ / 外国為替市場 / 市場期待 / マイクロストラクチャー / 市場参加者の異質性 |
|---|
| Research Abstract |
Using high frequency data set, I found that order flows, which are considered to convey market expectation to a foreign exchange rate, do not show a highly positive correlation with exchange rate movement. This possibly indicates that order flows consist of the two factors ; informational and noise ones. For this issue, I built the model which decomposes order flows into those two factors. I hope that this decomposition will enable a monetary authority to understand marker expectation correctly and intervene into foreign exchange market at adequate timing.
|
