科学研究費 基盤研究(C)23530308
「金融危機による貿易構造の変化と株式市場の国際的な連動性の実証分析」
研究期間:20011年4月〜2014年3月
研究代表: 吉田裕司 (単独)
研究成果:"Algorithm
Trading in Asian Currency FX Markets," 2014, in Greg N. Gregoriou and David Lee(ed.),
The Handbook on Asian Finance, Chapter 10, p. 185-205, Elsevier. (with Masayuki Susai)
Abstract: We investigate a unique EBS foreign exchange
dataset that provides each individual order a distinct
ID number with a time stamp on entry and another time stamp on exit. Using this
dataset for the
Australian dollar and the Japanese yen, we measure how long an individual limit
order remains in the
foreign exchange markets. A large number of limit orders are canceled within a
split second, which is
evidence for algorithmic trading in the foreign exchange market. While more than
80% of limit orders
are canceled in the JPY/USD spot market, the cancellation rates are even higher
in the JPY/AUD and
AUD/USD spot markets. At the minute frequency, we find weak evidence of
correlated cancellation
activities among three spot markets. We conclude that the cross-rate JPY/AUD
market is characterized
by a mixture of algorithm trading and triangular arbitrage trading.
Keywords: Algorithm trading, Carry trade, Cross-rate, Foreign exchange market,
High frequency data
研究成果:"The
Global Financial Crisis: An Analysis of the Spillover Effects on African
Stock Markets," 2013 Oct,
MPRA Working Paper, No. 50473. (with Kimiko Sugimoto and Takashi Matsuki)
研究成果:"Central
Bank Interventions and Limit Order Behavior in the Foreign Exchange Market,"
2012 July, Kyushu
Sangyo University Discussion Paper Series No. 56. (With Susai Masayuki)