全球智库信息集成服务系统(G2TT): Random Walk or A Run: Market Microstructure Analysis of the Foreign Exchange Rate Movements based on Conditional Probability

G2TT

来源类型	Working Paper
规范类型	报告
DOI	10.3386/w14160
来源ID	Working Paper 14160
	Random Walk or A Run: Market Microstructure Analysis of the Foreign Exchange Rate Movements based on Conditional Probability
	Yuko Hashimoto; Takatoshi Ito; Takaaki Ohnishi; Misako Takayasu; Hideki Takayasu; Tsutomu Watanabe
发表日期	2008-07-15
出版年	2008
语种	英语
摘要	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.
主题	International Economics ; International Finance ; Financial Economics ; Financial Markets
URL	https://www.nber.org/papers/w14160
来源智库	National Bureau of Economic Research (United States)
引用统计
资源类型	智库出版物
条目标识符	http://119.78.100.153/handle/2XGU8XDN/571834
推荐引用方式 GB/T 7714	Yuko Hashimoto,Takatoshi Ito,Takaaki Ohnishi,et al. Random Walk or A Run: Market Microstructure Analysis of the Foreign Exchange Rate Movements based on Conditional Probability. 2008.

条目包含的文件
文件名称/大小	资源类型	版本类型	开放类型	使用许可
w14160.pdf（397KB）	智库出版物		限制开放	CC BY-NC-SA	浏览