Journal of Stock & Forex Trading
Open Access

Department of Computing, Tokyo Institute of Technology, Tokyo, Japan

Publications

• Research Article   
  Simulation Study of Foreign Exchange Market Interventions using an Extended Dealer Model
  Author(s): Rintaro Arita, Hideki Takayasu and Misako Takayasu*
  
  This study analysed yen-dollar exchange market price fluctuations and the shape of the order book observed in the Foreign Exchange (FX) market at the time of intervention by the Japanese government. Using the comprehensive data of the order book during the yen-sold (dollar-bought) intervention in 2011 and yen-bought (dollar-sold) intervention in 2022, we found that methods of intervention used by the Japanese government in 2011 and 2022 were quite different in the sense of strategy. Intervention in 2011 involved a strategy placing a large number of buy orders on a price absorbing a large number of market orders, while intervention in 2022 involved a strategy placing a large number of sell limit orders at a price lower than the best bid price. Next, simulations of market price movements during FX interventions were conducted by generalizing a model known as the spread dealer.. View More»
  DOI: 10.35248/2168-9458.24.11.267

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