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Stochastic Structure of Brokered Foreign Exchange Auctions
http://hdl.handle.net/10252/233
http://hdl.handle.net/10252/233dc74c8ad-cb14-4e96-848f-c6ada76d9f4d
| 名前 / ファイル | ライセンス | アクション |
|---|---|---|
FFMC2006session8.pdf (270.5 kB)
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| Item type | 会議発表論文 / Conference Paper(1) | |||||
|---|---|---|---|---|---|---|
| 公開日 | 2008-02-28 | |||||
| タイトル | ||||||
| タイトル | Stochastic Structure of Brokered Foreign Exchange Auctions | |||||
| 言語 | en | |||||
| 言語 | ||||||
| 言語 | eng | |||||
| キーワード | ||||||
| 言語 | en | |||||
| 主題Scheme | Other | |||||
| 主題 | Foreign Exchange | |||||
| キーワード | ||||||
| 言語 | en | |||||
| 主題Scheme | Other | |||||
| 主題 | Volume and Volatility | |||||
| キーワード | ||||||
| 言語 | en | |||||
| 主題Scheme | Other | |||||
| 主題 | Heterogeneous Expectations | |||||
| キーワード | ||||||
| 言語 | en | |||||
| 主題Scheme | Other | |||||
| 主題 | Continuous Time Markov Process | |||||
| キーワード | ||||||
| 言語 | en | |||||
| 主題Scheme | Other | |||||
| 主題 | Infinitesimal Operator | |||||
| 資源タイプ | ||||||
| 資源タイプ識別子 | http://purl.org/coar/resource_type/c_5794 | |||||
| 資源タイプ | conference paper | |||||
| 著者 |
和田, 良介
× 和田, 良介 |
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| 書誌情報 |
en : Forecasting Financial Markets Conference May-June 2006 : Advances for Exchange Rates and Asset Management 発行日 2006 |
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| テキストバージョン | ||||||
| 出版タイプ | AM | |||||
| 出版タイプResource | http://purl.org/coar/version/c_ab4af688f83e57aa | |||||
| 日本十進分類法 | ||||||
| 言語 | ja | |||||
| 主題Scheme | NDC | |||||
| 主題 | 338.95 | |||||
| NIIサブジェクト | ||||||
| 言語 | ja | |||||
| 主題Scheme | Other | |||||
| 主題 | 経済学 | |||||
| 抄録 | ||||||
| 内容記述タイプ | Abstract | |||||
| 内容記述 | Our subject is a brokered foreign exchange auction. It is done in continuous time. FX Dealers submit orders asynchronously. Heterogeneous expectations and arrivals of retail transactions interact. They together randomly determine a sequence of transaction prices. We provide a model of order flow generation. This fills what has lacked in the existing microstructure literature. Trading volume and volatility are endogenous. We derive causes of their variability and hence, correlation between them. For example, ceteris paribus, the heterogeneous expectations increases volatility. We abstract the market microstructure as a collection of continuous time Markov processes. We define finite number of states of the market. The auction takes forms of transitions between these states. For this argument, we construct an infinitesimal operator. This makes it possible to derive transition probabilities of the market for any time interval. Other features are as follows: (i) Arrivals processes of buyers and sellers substitute demand and supply schedules to handle asynchronous transactions. (ii) Two sources generate the order arrivals. One is dealers’ revising expectations and the other is dealers’ retail transactions. (iii) The bench mark for dealer’s decision making is not an expected equilibrium but the first peak or trough on the expected time path. (iv) Dealers take into account of a distribution of reservation prices to choose their own. (v) Dealers, having heterogeneous reservation prices, as a whole absorb excess demand from the macro fundamentals. Price changes enough to do so. (vi) We derive stochastic characteristics of bid rate. Using it, we approximate change in transaction price volatility. | |||||
| 言語 | en | |||||
| 会議名 | ||||||
| 内容記述タイプ | Other | |||||
| 内容記述 | Forecasting Financial Markets : Advances for Exchange Rates and Asset Management, Thirteenth International Conference | |||||
| 言語 | en | |||||
| 会議開催地 | ||||||
| 内容記述タイプ | Other | |||||
| 内容記述 | Aix-en-Provence | |||||
| 言語 | en | |||||
| 会議開催日 | ||||||
| 内容記述タイプ | Other | |||||
| 内容記述 | 31st May - 2nd June, 2006 | |||||
