| Presentation | 2022-11-17 Forex trading strategy that might be executed due to the popularity of Gotoubi anomaly Hiroki Bessho, Takanari Sugimoto, Tomoya Suzuki, |
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| PDF Download Page |  PDF download Page Link |
| Abstract(in Japanese) | (See Japanese page) |
| Abstract(in English) | Our previous research has confirmed that the USD/JPY rate tends to rise toward 9:55 every morning in Gotobi (days divisible by five). This is called the Gotobi anomaly. In the present study, we verify the possible trading strategy and its validity under the condition that investors recognize the existence of the anomaly. Moreover, we illustrate the possibility that the wealth of Japanese companies might leak to FX traders due to the arbitrage opportunity if Japanese companiesblindly keep making payments in Gotobi as a business custom. |
| Keyword(in Japanese) | (See Japanese page) |
| Keyword(in English) | Market anomaly / market microstructure / trading strategy |
| Paper # | CCS2022-46 |
| Date of Issue | 2022-11-10 (CCS) |
| Conference Information | |
| Committee | CCS |
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| Conference Date | 2022/11/17(2days) |
| Place (in Japanese) | (See Japanese page) |
| Place (in English) | |
| Topics (in Japanese) | (See Japanese page) |
| Topics (in English) | |
| Chair | Megumi Akai(Hokkaido Univ.) |
| Vice Chair | Hidehiro Nakano(Tokyo City Univ.) / Masaki Aida(TMU) |
| Secretary | Hidehiro Nakano(Shibaura Inst. of Tech.) / Masaki Aida(Mie Univ.) |
| Assistant | Hiroyuki Yasuda(Univ. of Tokyo) / Hiroyasu Ando(Tsukuba Univ.) / Tomoyuki Sasaki(Shonan Inst. of Tech.) / Miki Kobayashi(Rissho Univ.) |
| Paper Information | |
| Registration To | Technical Committee on Complex Communication Sciences |
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| Language | JPN |
| Title (in Japanese) | (See Japanese page) |
| Sub Title (in Japanese) | (See Japanese page) |
| Title (in English) | Forex trading strategy that might be executed due to the popularity of Gotoubi anomaly |
| Sub Title (in English) | |
| Keyword(1) | Market anomaly |
| Keyword(2) | market microstructure |
| Keyword(3) | trading strategy |
| 1st Author's Name | Hiroki Bessho |
| 1st Author's Affiliation | Ibaraki University(Ibaraki Univ.) |
| 2nd Author's Name | Takanari Sugimoto |
| 2nd Author's Affiliation | Gaika ex byGMO, Inc.(Gaika ex byGMO) |
| 3rd Author's Name | Tomoya Suzuki |
| 3rd Author's Affiliation | Ibaraki University(Ibaraki Univ.) |
| Date | 2022-11-17 |
| Paper # | CCS2022-46 |
| Volume (vol) | vol.122 |
| Number (no) | CCS-255 |
| Page | pp.pp.14-18(CCS), |
| #Pages | 5 |
| Date of Issue | 2022-11-10 (CCS) |