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

外汇市场交易的跳价聚集现象研究

作者：Jan Novotny, Dmitri Petrov and Giovanni Urga

摘要：我们对基于外汇市场跳价（Price jump）聚集现象的交易机会进行了研究。我们发现在2013/3/1至2013/6/6间，在5分钟的数据频率下，有8种货币汇率（相对于美元）在交易时存在跳价聚集现象。因此，我们提出一个基于高频、跳价聚集现象的交易策略。该策略表明：跳价可为所有货币带来可交易的信号；然而，当把汇率的买卖价差考虑进来，我们策略的可盈利货币只有欧元、日元和兰特（南非的货币单位）。从投资组合的视角来看，我们构建了基于欧元与日元的投资组合，该组合在不同持有期下均有着稳健的策略表现，可使交易成本最小化，同时分散与美元相关的风险。

关键词：跳价，聚集现象，外汇市场，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

原文链接：

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

翻译：柳依依