{"created":"2023-05-15T15:28:09.187957+00:00","id":149,"links":{},"metadata":{"_buckets":{"deposit":"a7daa92b-1e20-4fe8-b082-cbd3210b4a90"},"_deposit":{"created_by":3,"id":"149","owners":[3],"pid":{"revision_id":0,"type":"depid","value":"149"},"status":"published"},"_oai":{"id":"oai:barrel.repo.nii.ac.jp:00000149","sets":["1:38"]},"author_link":["481"],"control_number":"149","item_3_biblio_info_5":{"attribute_name":"書誌情報","attribute_value_mlt":[{"bibliographicIssueDates":{"bibliographicIssueDate":"2006","bibliographicIssueDateType":"Issued"},"bibliographic_titles":[{"bibliographic_title":"Forecasting Financial Markets Conference May-June 2006 : Advances for Exchange Rates and Asset Management","bibliographic_titleLang":"en"}]}]},"item_3_description_19":{"attribute_name":"抄録","attribute_value_mlt":[{"subitem_description":"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.","subitem_description_language":"en","subitem_description_type":"Abstract"}]},"item_3_description_20":{"attribute_name":"会議名","attribute_value_mlt":[{"subitem_description":"Forecasting Financial Markets : Advances for Exchange Rates and Asset Management, Thirteenth International Conference","subitem_description_language":"en","subitem_description_type":"Other"}]},"item_3_description_21":{"attribute_name":"会議開催地","attribute_value_mlt":[{"subitem_description":"Aix-en-Provence","subitem_description_language":"en","subitem_description_type":"Other"}]},"item_3_description_22":{"attribute_name":"会議開催日","attribute_value_mlt":[{"subitem_description":"31st May - 2nd June, 2006","subitem_description_type":"Other"}]},"item_3_subject_17":{"attribute_name":"日本十進分類法","attribute_value_mlt":[{"subitem_subject":"338.95","subitem_subject_language":"ja","subitem_subject_scheme":"NDC"}]},"item_3_subject_18":{"attribute_name":"NIIサブジェクト","attribute_value_mlt":[{"subitem_subject":"経済学","subitem_subject_language":"ja","subitem_subject_scheme":"Other"}]},"item_3_version_type_16":{"attribute_name":"テキストバージョン","attribute_value_mlt":[{"subitem_version_resource":"http://purl.org/coar/version/c_ab4af688f83e57aa","subitem_version_type":"AM"}]},"item_creator":{"attribute_name":"著者","attribute_type":"creator","attribute_value_mlt":[{"creatorNames":[{"creatorName":"Wada, Ryosuke","creatorNameLang":"en"},{"creatorName":"和田, 良介","creatorNameLang":"ja"},{"creatorName":"ワダ, リョウスケ","creatorNameLang":"ja-Kana"}],"nameIdentifiers":[{"nameIdentifier":"481","nameIdentifierScheme":"WEKO"}]}]},"item_files":{"attribute_name":"ファイル情報","attribute_type":"file","attribute_value_mlt":[{"accessrole":"open_date","date":[{"dateType":"Available","dateValue":"2016-01-22"}],"displaytype":"detail","filename":"FFMC2006session8.pdf","filesize":[{"value":"270.5 kB"}],"format":"application/pdf","licensetype":"license_note","mimetype":"application/pdf","url":{"label":"FFMC2006session8.pdf","url":"https://barrel.repo.nii.ac.jp/record/149/files/FFMC2006session8.pdf"},"version_id":"e9293dc5-43f4-47a1-a0f8-1cf06cff148e"}]},"item_keyword":{"attribute_name":"キーワード","attribute_value_mlt":[{"subitem_subject":"Foreign Exchange","subitem_subject_language":"en","subitem_subject_scheme":"Other"},{"subitem_subject":"Volume and Volatility","subitem_subject_language":"en","subitem_subject_scheme":"Other"},{"subitem_subject":"Heterogeneous Expectations","subitem_subject_language":"en","subitem_subject_scheme":"Other"},{"subitem_subject":"Continuous Time Markov Process","subitem_subject_language":"en","subitem_subject_scheme":"Other"},{"subitem_subject":"Infinitesimal Operator","subitem_subject_language":"en","subitem_subject_scheme":"Other"}]},"item_language":{"attribute_name":"言語","attribute_value_mlt":[{"subitem_language":"eng"}]},"item_resource_type":{"attribute_name":"資源タイプ","attribute_value_mlt":[{"resourcetype":"conference paper","resourceuri":"http://purl.org/coar/resource_type/c_5794"}]},"item_title":"Stochastic Structure of Brokered Foreign Exchange Auctions","item_titles":{"attribute_name":"タイトル","attribute_value_mlt":[{"subitem_title":"Stochastic Structure of Brokered Foreign Exchange Auctions","subitem_title_language":"en"}]},"item_type_id":"3","owner":"3","path":["4","38"],"pubdate":{"attribute_name":"PubDate","attribute_value":"2008-02-28"},"publish_date":"2008-02-28","publish_status":"0","recid":"149","relation_version_is_last":true,"title":["Stochastic Structure of Brokered Foreign Exchange Auctions"],"weko_creator_id":"3","weko_shared_id":-1},"updated":"2024-06-11T08:15:08.465325+00:00"}