| アイテムタイプ |
デフォルトアイテムタイプ（フル）その２(1) |
| 公開日 |
2017-05-20 |
| タイトル |
|
|
タイトル |
Random Walk or A Run: Market Microstructure Analysis of the Foreign Exchange Rate Movements based on Conditional Probability |
|
言語 |
en |
| 作成者 |
橋本, 優子
伊藤, 隆敏
大西, 立顕
タカヤス, ミサコ
高安, 秀樹
| en |
Takayasu, Hideki
Sony Computer Science Laboratories
|
| ja |
高安, 秀樹
|
| ja-Kana |
タカヤス, ヒデキ
|
Search repository
渡辺, 努
|
| 寄与者 |
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|
寄与者タイプ |
Editor |
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|
姓名 |
日本経済の物価変動ダイナミクスの解明 = Understanding Inflation Dynamics of the Japanese Economy |
|
|
言語 |
en |
| アクセス権 |
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|
アクセス権 |
open access |
|
アクセス権URI |
http://purl.org/coar/access_right/c_abf2 |
| 主題 |
|
|
言語 |
en |
|
主題Scheme |
Other |
|
主題 |
Foreign exchange rate |
| 主題 |
|
|
言語 |
en |
|
主題Scheme |
Other |
|
主題 |
electronic broking system |
| 主題 |
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|
言語 |
en |
|
主題Scheme |
Other |
|
主題 |
random walk |
| 主題 |
|
|
言語 |
en |
|
主題Scheme |
Other |
|
主題 |
market microstructure |
| 内容記述 |
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|
内容記述タイプ |
Other |
|
内容記述 |
This version: June 10, 2008 |
|
言語 |
en |
| 内容記述 |
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|
内容記述タイプ |
Abstract |
|
内容記述 |
Using tick-by-tick data of the dollar-yen and euro-dollar exchange rates recorded in 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 started i.e., conditional probability of deal prices tend to move in the same direction as the last several times in a row is higher than 0.5. However, quote prices do not show such tendency of a run. Hence, a random walk hypothesis is refuted in a simple test of a run using the tick by tick data. In addition, a longer continuous increase of the price tends to be followed by 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 the exchange rate movement. Findings here also lend support to the momentum trading strategy. |
|
言語 |
en |
| 出版者 |
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|
出版者 |
Research Center for Price Dynamics, Institute of Economic Research, Hitotsubashi University |
|
言語 |
en |
| 日付 |
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|
日付 |
2008-08-04 |
|
日付タイプ |
Issued |
| 言語 |
|
|
言語 |
eng |
| 資源タイプ |
|
|
資源タイプ識別子 |
http://purl.org/coar/resource_type/c_18gh |
|
資源タイプ |
technical report |
| 出版タイプ |
|
|
出版タイプ |
VoR |
|
出版タイプResource |
http://purl.org/coar/version/c_970fb48d4fbd8a85 |
| 関連情報 |
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|
関連タイプ |
isPartOf |
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|
言語 |
en |
|
|
関連名称 |
Working Paper Series ; No. 25 |
| 関連情報 |
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|
識別子タイプ |
URI |
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|
関連識別子 |
http://www.ier.hit-u.ac.jp/~ifd/ |
| ページ数 |
|
|
ページ数 |
29 |
| Sponsorship |
|
|
値 |
日本学術振興会・科学研究費補助金（学術創成研究費） = JSPS Grant-in-Aid for Creative Scientific Research |
| JEL |
|
|
値 |
F31 |
| JEL |
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|
値 |
F33 |
| JEL |
|
|
値 |
G15 |
IFD_WP25.pdf (651615 bytes)
