Estimation of market expectation: A study in foreign exchange markets

2014 Fiscal Year Final Research Report

• Project/Area Number: 24730277
• Research Category: Grant-in-Aid for Young Scientists (B)
• Allocation Type: Multi-year Fund
• Research Field: Public finance/Monetary economics
• Research Institution: Waseda University
• Principal Investigator: KITAMURA Yosihihiro 早稲田大学, 社会科学総合学術院, 教授 (90409566)
• Project Period (FY): 2012-04-01 – 2015-03-31
• Keywords: 為替レート / 市場期待 / マイクロストラクチャー

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.

Free Research Field

国際金融論