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Stochastic Structure of Brokered Foreign Exchange Auctions
http://hdl.handle.net/10252/232
http://hdl.handle.net/10252/2323dbce20e-6cc9-41f7-92a4-70411849c21b
| 名前 / ファイル | ライセンス | アクション |
|---|---|---|
IASTED287-292.pdf (246.3 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 | ||||||
| 言語 | eng | |||||
| キーワード | ||||||
| 主題Scheme | Other | |||||
| 主題 | Foreign Exchange | |||||
| キーワード | ||||||
| 主題Scheme | Other | |||||
| 主題 | Volume/Volatility | |||||
| キーワード | ||||||
| 主題Scheme | Other | |||||
| 主題 | Continuous Auction | |||||
| 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 |
Wada, Ryosuke
× Wada, Ryosuke |
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| 書誌情報 |
Proceedings of the Second IASTED International Conference, Financial Engineering and Applications p. 287-292, 発行日 2004 |
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| 出版者 | ||||||
| 出版者 | IASTED: International Association of Science and Technology for Development | |||||
| 出版社版URI | ||||||
| 権利情報 | http://www.iasted.org/ | |||||
| テキストバージョン | ||||||
| 出版タイプ | VoR | |||||
| 出版タイプResource | http://purl.org/coar/version/c_970fb48d4fbd8a85 | |||||
| 日本十進分類法 | ||||||
| 主題Scheme | NDC | |||||
| 主題 | 338.95 | |||||
| NIIサブジェクト | ||||||
| 主題Scheme | Other | |||||
| 主題 | 経済学 | |||||
| 抄録 | ||||||
| 内容記述タイプ | Abstract | |||||
| 内容記述 | This paper models stochastic order flow generations in a FX market. Like other financial asset markets, in order for a trader to have perspective on price, he must take other traders’ perspectives into consideration. In our model, prices are formed through the interactions between heterogeneous price perspectives and the order flow from macro economy. The auctions are continuous. So we do not have truistic point of time to define liquidation value. Also applying demand and supply on their asynchronous transactions is difficult. We use alternative benchmark value and arrival intensities of order flow. We derive determinants of volume and volatility. | |||||
| 会議名 | ||||||
| 内容記述タイプ | Other | |||||
| 内容記述 | The Second IASTED International Conference, Financial Engineering and Applications | |||||
| 会議開催地 | ||||||
| 内容記述タイプ | Other | |||||
| 内容記述 | Cambridge, MA, USA | |||||
| 会議開催日 | ||||||
| 内容記述タイプ | Other | |||||
| 内容記述 | November 8-10, 2004 | |||||
