023-02

第23回研究会

外国為替市場におけるポジション管理戦略の クラスタリングに基づく将来価格予測†

著者†

末重拓己(東京工業大学), Didier Sornette(ETH), 高安秀樹(Sony CSL), 高安美佐子(東京工業大学)

概要†

Individual trading analysis has become the focus of recent attention in the field of market microstructure. Several research works reveal how trading strategies of specific traders or banks are affected by historical market information. However, there is little research revealing how such microscopic trading strategies recursively affect macroscopic future market information. Using the high-granular dataset including the trading behavior of specific banks in a U.S dollar (USD) against Japanese yen (JPY) market, here we demonstrate management method of positions, defined as the numbers of units of USD banks bought or sold against JPY, can be clearly clustered into two simple strategies. We then find the strong relationship between future-market price movements and these two position management strategies, and this relationship even allows a prior prediction of market prices fifteen minutes ahead.

キーワード†

data analysis, forex market, position management

論文†

(10月9日以降に公表いたします)