Random walk or a run. Market microstructure analysis of foreign exchange rate movements based on conditional probability
Random walk or a run. Market microstructure analysis of foreign exchange rate movements based on conditional probability
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DOI：
10.1080/14697681003792237
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发表时间：
2008-07
影响因子：
1.3
通讯作者：
Y. Hashimoto;Takatoshi Ito;T. Ohnishi;M. Takayasu;H. Takayasu;Tsutomu Watanabe
中科院分区：
文献类型：
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作者：
Y. Hashimoto;Takatoshi Ito;T. Ohnishi;M. Takayasu;H. Takayasu;Tsutomu Watanabe
使用实际交易平台上记录的美元兑日元和欧元兑美元汇率的逐个刻度数据，过去几个刻度的交易价格连续上涨或下跌，确实对下一步价格走势有一些可预测的信息。与订单流一致的交易价格波动，往往会在启动后继续运行。事实上，在连续几次观察之后，在同一方向上继续运行的条件概率超过了0.5。然而，报价并没有表现出这样的运行趋势。因此，在使用逐个滴答数据对跑步进行的简单测试中，随机行走假说被驳斥。此外，价格连续上涨时间更长，往往会出现更大的反转。研究结果表明，那些能够获得实时、逐笔交易数据的市场参与者在预测汇率走势方面可能具有优势。这里报道的研究结果也支持动量交易策略。
Using tick-by-tick data for the dollar–yen and euro–dollar exchange rates recorded on the actual transaction platform, a ‘run’—continuous increases or decreases in deal prices for the past several ticks—does have some predictable information on the direction of the next price movement. Deal price movements, that are consistent with order flows, tend to continue a run once it is started. Indeed, conditional probabilities of a run continuing in the same direction after several consecutive observations exceed 0.5. However, quote prices do not show such a run tendency. Hence, a random walk hypothesis is refuted in a simple test of a run using tick-by-tick data. In addition, a longer continuous increase of the price tends to be followed by a larger reversal. The findings suggest that those market participants who have access to real-time, tick-by-tick transaction data may have an advantage in predicting exchange rate movements. The findings reported here also lend support to the momentum trading strategy.