JOURNAL OF FINANCIAL MARKETS·VOL. 24, PAGES 66-92·JUNE2015

外彙市場交易的跳價聚集現象研究

作者：Jan Novotny, Dmitri Petrov and Giovanni Urga

摘要：我們對基于外彙市場跳價（Price jump）聚集現象的交易機會進行了研究。我們發現在2013/3/1至2013/6/6間，在5分鐘的數據頻率下，有8種貨币彙率（相對于美元）在交易時存在跳價聚集現象。因此，我們提出一個基于高頻、跳價聚集現象的交易策略。該策略表明：跳價可為所有貨币帶來可交易的信号；然而，當把彙率的買賣價差考慮進來，我們策略的可盈利貨币隻有歐元、日元和蘭特（南非的貨币單位）。從投資組合的視角來看，我們構建了基于歐元與日元的投資組合，該組合在不同持有期下均有着穩健的策略表現，可使交易成本最小化，同時分散與美元相關的風險。

關鍵詞：跳價，聚集現象，外彙市場，交易，盈利性策略

Trading price jump clusters in foreign exchange markets

Jan Novotny, Dmitri Petrov and Giovanni Urga

ABSTRACT

We investigate trading opportunities of price jump clusters in the FX markets. We identify clusters for eight FX rates against the U.S. dollar from March 1, 2013 to June 6, 2013 sampled at a 5-minute frequency. We propose a high-frequency jump cluster-based trading strategy and show that jumps carry a tradable signal for all currencies; however, when incorporating the bid-ask spread, the only profitable currencies are the euro, yen and rand. From the portfolio perspective, a combination of the euro and yen represents a strategy robust to the holding period, minimizes the transaction costs, and diversifies out the U.S.-related risk.

Keywords: Price jumps, Clusters, Foreign exchange markets, Trading, Profitable strategy

原文鍊接：

http://www.sciencedirect.com/science/article/pii/S1386418115000270

翻譯：柳依依