019-18

2017-10-11 (水) 09:13:15 (12d) | Topic path: Top / 019-18

第19回研究会

外国為替市場の個々のトレーダのトラッキング解析:ミクロモデルの提案とその平均場理論

著者

金澤輝代士(東京工業大学), 末重拓己(東京工業大学), 高安秀樹(Sony Computer Science Laboratories), 高安美佐子(東京工業大学)

概要

Recent technological breakthrough has enabled us to study the microstructure of financial markets using the high-frequency trading data. In this presentation, we review our recent preprint (arXiv: 1703.06739), in which individual traders's strategies are analyzed on the basis of informative order book data with anonymized trader identifications. We empirically study the trend-following behavior of individual traders on the basis of conditional statistical analysis. We then propose a microscopic model of financial markets on the basis of the empirical finding of trend-following of individual traders. We further develop a systematic theory to our microscopic model paralleling to the mathematical formulation of kinetic theory. Finally, the agreement between empirical results and our theoretical predictions are shown in terms of the order book profile and the price movement distribution.

キーワード

Market microstructure, High frequency trading, Foreign exchange market, Data analysis, Mean-field theory, Kinetic Theory, Stochastic Processes

論文

fileSIG-FIN-019-18.pdf

添付ファイル: fileSIG-FIN-019-18.pdf 102件 [詳細]
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