Theoretical Analysis of Exchange Rate Fluctuations and Applied Analysis of High Frequency Data

汇率波动的理论分析与高频数据的应用分析

• 批准号: 20243014
• 负责人: ITO Takatoshi
• 金额: $ 17.06万
• 依托单位: The University of Tokyo
• 依托单位国家: 日本
• 项目类别: Grant-in-Aid for Scientific Research (A)
• 财政年份: 2008
• 资助国家: 日本
• 起止时间: 2008 至 2012
• 项目状态: 已结题
• 来源: https://kaken.nii.ac.jp/en/grant/KAKENHI-PROJECT-20243014/
• 关键词: 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; 変動性（ボラティリティー）; ランダム・ウォーク; マクロ統計; マイクロ・ストラクチャー; 変動性(ボラティリティー); 変動性

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.

本文的理论和实证研究采用了来自主要汇率交易平台EBS的独特数据集。该记录包括限价单，交易价格和交易量等，在一秒钟的时间片。该研究属于使用高频数据集的不断增长的文献。在研究中发现了以下结果;就在重要的宏观经济变量公布之前和之后，（-实际-预期）成分导致汇率在与理论一致的方向上快速运动;汇率在第二频率上的运动不符合随机游走假说，而符合动量交易策略;负利差和三角套利形式的套利机会确实存在，主要是因为所涉及的银行之间的信贷额度。然而，自2005年以来，这种套利机会的频率和持续时间都有所下降。这一趋势与直接连接电子银行业务系统的银行计算机数量有关。

项目成果

日本経済学会

日本经济协会

• 发表时间: 2012
• 作者: Sugawara;Kazuyoshi;和田肇;和田肇;唐津博;唐津博;唐津博;根本到;根本到;根本到;藤井康博;柄谷利恵子;伊藤隆敏
• 通讯作者: 伊藤隆敏

The Exchange Rate Movement with High Frequency Data

高频数据下的汇率变动

• 发表时间: 2009
• 作者: Manabu Asai;Angelo Unite;伊藤隆敏
• 通讯作者: 伊藤隆敏

Free Lunch! Arbitrage Opportunities in the Foreign Exchange Markets

• DOI: 10.3386/w18541
• 发表时间: 2012-11
• 期刊: Econometric Modeling: International Financial Markets - Foreign Exchange eJournal
• 作者: Takatoshi Ito;Kenta Yamada;M. Takayasu;H. Takayasu

Effects of Japanese Macroeconomic Announcements on the Dollar/Yen Exchange Rate

日本宏观经济公告对美元/日元汇率的影响

• 发表时间: 2009
• 作者: Kawai;Koari;Atsuyuki Kogure and Yoshiyuki Kurachi;ディビッド・ウルフ;佐藤雄一郎(分担執筆);山影進;戸波江二;高久健二;伊藤隆敏
• 通讯作者: 伊藤隆敏

Random walk or a run. Market microstructure analysis of foreign exchange rate movements based on conditional probability

• DOI: 10.1080/14697681003792237
• 发表时间: 2008-07
• 期刊: Quantitative Finance
• 影响因子: 1.3
• 作者: Y. Hashimoto;Takatoshi Ito;T. Ohnishi;M. Takayasu;H. Takayasu;Tsutomu Watanabe