We analyze tick-by-tick data, the most high frequency data available, of yen–dollar currency exchange rates. We show that a dynamical structure can be observed in binarized data indicating the direction of up and down movement of prices, which is not apparently seen from the price change...

We analyze tick data of yen–dollar exchange with a focus on its up and down movement. We show that there exists a rather particular conditional probability structure with such high frequency data. This result provides us with evidence to question one of the basic assumptions of the traditional...

Firms listed on JASDAQ can select either the order-driven (hereafter OD) system, where formal market makers are not involved, or the market-maker (hereafter MM) system for the trading of stocks. How differences in trading systems affect pricing and liquidity is a key issue in the study of market...

The BOJ recently announced its intention to purchase asset backed securities (ABS) whose underlying assets are closely related to SME economic activities. One important motivation for this policy arises from the idea that utilizing modern financial tools, i.e., securitization, can be a possible...

The mechanism of financial transactions provided to society today cannot be determined by a single financial institution, but is determined through a complex structure of mutual cooperation, or a "network", between several financial institutions. Quantitative analysis of such a "network"...

When a firm switches its listing venue, there is often a significant increase in the number of shareholders and the trading activities. According to Merton [1987], an increased shareholder base improves diversification of risk, which has a positive impact on the stock price. Amihud and Mendelson...

Enhancing market liquidity and efficiency in government bond markets is a central issue which needs to be addressed so as to ensure that the yield curve, which acts as the benchmark for yen interest rate instruments, is smoothly determined and reflects prevailing market prices. An efficient...