是什么在驱动高频外汇交易？

FX Blog What is driving high-frequency FX? Rohini Grover, Ph.D.Strategist Main highlights of the High-Frequencymonitor: Recent geopolitical tensions have led to some decoupling of FX markets from USasset classes. For instance, the number of currencies driven by US equities andrates has declined over the past week, while concurrently, we've observed a Christabel CharlesResearch Analyst Impact of key asset classes on FX:In the G10 space, EM equities are currentlydriving AUD/JPY, USD/CHF, AUD/USD and NZD/USD. Historically,EM equitieshave driven most of these around 25-30% of the days over the three months. Digging deeper into specific pairs:Our forward-looking statistical tests suggestthatEUR/USD and gold are currently acting as drivers rather than beinginfluenced by other asset classes.Contemporaneously,EUR/USD shows amoderate correlation with US rates, EM equities, andcopper. However, while its AUD/JPY has been the top currency pair driven by AU, US and EM equities along USD/MXN and XBT/USDare particularlydrivenbycopper. Contemporaneous effects between FX and other asset classes:Antipodeancurrencies and XBT/USD show strong positive correlations with US equities. USrates demonstrate a strong positive relationship with USD/SGD and USD/JPY,and a strong negative association with GBP/USD, EUR/USD, andantipodean Figure1,Figure3andFigure13look at causality in FX.Figure1shows the currencieswhose moves can be statistically predicted by other asset classes.Figure3ranks the drivers of FX (highest to lowest number of currencies, driven by a given asset).Figure13shows the relative importance of each asset in driving a given currencyin the recent period.Figure11looks at contemporaneous correlations. We showthe top 3 correlations between FX pairs and other asset classes.Figure12shows Source:Deutsche Bank Research Source:Deutsche Bank, EBS, Reuters; 4-week rolling averageconnections Source:Deutsche Bank, EBS, Reuters; Total number of currencies = 19 Source:Deutsche Bank Research * %of days since 1st April 2021 each currency isdriven by other assets. For example, USDCHF is driven by US rates 60% of the days. Source:Deutsche Bank Research * % of days since 1st April 2021 each currency isdriven by other assets. For example, USDCHF is driven by US rates 60% of the days. Source:Deutsche Bank Research * % of days since 1st April 2021 each currency isdriven by other assets. For example, USDCHF is driven by US rates 60% of the days. Source:Deutsche Bank, EBS, Reuters. We compute daily correlations using log pricechanges sampled at 5 minutes frequency and take an average of thedaily correlationsover the past five days to arrive at the final 5-day correlation numbers. Source:Deutsche Bank, EBS, Reuters; 4-week rolling averageconnections Appendix 1 Analyst Certification The views expressed in this report accurately reflect the personal views of the undersigned leadanalyst(s). Inaddition, the undersigned lead analyst(s) has not and will not receive any compensation for providing a specific Important Disclosures Prices are current as of the end of the previous trading session unless otherwise indicated and are sourced from localexchanges via Reuters, Bloomberg and other vendors . Other information is sourced from Deutsche Bank, subject https://research.db.com/Research/Disclosures/FICCDisclosures. Aside from within this report, important risk andconflict disclosures can also be found athttps://research.db.com/Research/Disclosures/Disclaimer. Investors are Additional Information The information and opinions in this report were prepared by Deutsche Bank AG or one of its affiliates (collectively'Deutsche Bank'). Though the information herein is believed to be reliable and has been obtained from public sourcesbelieved to be reliable, Deutsche Bank makes no representation as to its accuracy or completeness. Hyperlinks to If you use the services of Deutsche Bank in connection with a purchase or sale of a security that is discussed in thisreport, or is included or discussed in another communication (oral or written) from a Deutsche Bank analyst, Deutsche Deutsche Bank may consider this report in deciding to trade as principal. It may also engage in transactions, for itsown account or with customers, in a manner inconsistent with the views taken in this research report. Others withinDeutsche Bank, including strategists, sales staff and other analysts, may take views that are inconsistent with thosetaken in this research report. Deutsche Bank issues a variety of research products, including fundamental analysis, Opinions, estimates and projections constitute the current judgment of the author as of the date of this report. Theydo not necessarily reflect the opinions of Deutsche Bank and are subject to change without notice. Deutsche Bankprovides liquidity for buyers and sellers of securities issued by the companies it covers. Deutsche Bank research term ratings. Some trade ideas for equities are listed as Catalyst