什么在驱动高频外汇交易？

Foreign ExchangeFX Blog What is driving high-frequency FX? Rohini Grover, Ph.D.Strategist Main highlights of the High-Frequency monitor:Over the past week, copper'sinfluence on FX has gained considerable traction, now impacting close to 50% ofthe currencies in our sample.US equities, despite their marginal lead, persist asthe primary driver, given their critical influence on FX movements around month- Christabel CharlesResearch Analyst Impact of key asset classes on FX:Analysis of FX driversrevealthat Copper is thedominant factor for XBT/USD, USD/ZAR, and USD/CNH. For XAU/USD andUSD/SGD, both US equities and Copper play a significant role.Major currency Digging deeper into specific pairs:AUD/JPY is currently the most sensitivecurrency pair. Its high-frequency movements are driven byAU, US and EMequities along withUS rates, Copper and VIX.AUD/USD is the second most Historical impact ofUS equitieson FX:Over the last three months, historical datashows US equities influenced USD/CHF and USD/ZAR on over 70% of days.Copper affected USD/CNH and USD/ZARon approximately 40% of days.Separately, EM equities impacted EUR/NOK and EUR/PLN on about 50% of days. Contemporaneous effects between FX and other asset classes:US equities showstrongpositive correlations with XBT/USD,the Antipodean currencies,AUD/JPY, and XAU/USD. Copper also has a strong positive correlation with goldand the Antipodean, while exhibiting a strong negative correlation with USD/CAD Figure1,Figure3andFigure13look at causality in FX.Figure1shows the currencieswhose moves can be statistically predicted by other asset classes.Figure3ranksthe 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, EBS, Reuters; Total number of currencies = 19 Source:Deutsche Bank, EBS, Reuters; 4-week rolling average connections 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 the daily correlationsover the past five days to arrive at the final 5-day correlation numbers. Source:Deutsche Bank, EBS, Reuters; 4-week rolling average connections Figure12:Cross-currency correlation Source:Deutsche Bank Research 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