(2019/3/15 Version)+-+-+-+-+-+-+-+-+-+-+-+-+-+-+-+-+-+-+-+-+-+-+-+-+-+-+-+-+-+-+-+-+-+-+-+-+

3rd Annual International Conference on

High Frequency Exchange Rate Dynamics:
Econophysics and Econometric/Theoretical Analysis1+-+-+-+-+-+-+-+-+-+-+-+-+-+-+-+-+-+-+-+-+-+-+-+-+-+-+-+-+-+-+-+-+-+-+-+-+
Date & Time:
Venue:
Organizer:
Contact:
9:15 - 9:30

Monday, March 18, 2019 9:15 - 17:00
GRIPS Research Meeting Room 4A (morning) and 4B (afternoon),
4th Floor, Roppongi, TokyoTakatoshi Ito, GRIPS and Columbia University
t-ito2@grips.ac.jp

Introductory Remarks

Takatoshi Ito (Columbia University and GRIPS)
Welcome Remarks
9:30 - 10:30

Retaining Alpha: the effect of trade size and rebalance strategy on FX returns *Michael Melvin (University of California, San Diego)
Discussant: Takatoshi Ito (Columbia University and GRIPS)
10:30 - 10:45

Coffee Break

10:45 - 11:45

FX Liquidity and Market Metrics: New Results Using CLS Bank Settlement Data *Richard Levich (New York University)
Discussant: Yuko Hashimoto (IMF)
11:50 - 12:50

Price Discovery and Liquidity at macro statistics announcement time

Takatoshi Ito (Columbia University and GRIPS)
Masahiro Yamada (Hitotsubashi University and JBIC)
Discussant: Yuko Hashimoto (IMF)1This conference is organized with support from the Grant-in-aid (kaken), Japan Society for thePromotion of Science (JSPS), 17H00995.

12:50 - 14:00

Lunch Meeting: Discussion led by Michael Melvin on the LONDON Fixing
Case

14:00 - 14:45

Agent-based simulation of triangular arbitrage in foreign exchange market

Alberto Ciacci (Imperial College London)

14:50 - 15:35

The Holy Grail of Crypto Currencies: Ready to replace fiat money?
Dissection of Bitcoin's Multiscale Bubble History from January 2012 toFebruary 2018 *Didier Sornette (ETH Zurich)

15:35 - 15:50

Break

15:50 - 16:35

Agent-based model of FX traders and its theoretical and numerical solution

Kiyoshi Kanazawa (Tokyo Institute of Technology)
16:35 - 17:00

Discussion: Future Research Agenda++++++++++

Presentation 30 min; discussant 15 min; and floor discussion 15 min.
*Papers marked with (*) are available online. Please click here for download.
Hardcopies will not be available at the conference.
http://www3.grips.ac.jp/~t-ito/index.html
Pre-Registration Required
This conference is open to researchers, practitioners, the authorities, and the public ingeneral. The conference will be conducted in English (no translation). However, preregistration (by March 5) is needed due to space constraint and security. If you would like toattend, please send an email to t-ito2@grips.ac.jp to inquire with you name and affiliation.

List of participants (Speakers, Coauthors and Discussants)
In Alphabetical Order
Ciacci, Alberto
Imperial College London
Hashimoto, Yuko
Senior Economist, Research Department, International Monetary FundIto, Takatoshi
Senior Professor, National Graduate Institute for Policy Studies, andProfessor, School of International and Public Affairs, Columbia University
Kanazawa, Kiyoshi
Assistant Professor, Institute of Innovative Research, Tokyo Institute of Technology
Levich, Richard
Professor of Finance and International Business and Director, Glucksman Institute for
Research in Securities Markets, Leonard N. Stern School of Business, New York University
Melvin, Michael
Professor, Rady School of Management, University of California San Diego
Sornette, Didier
Professor on the Chair of Entrepreneurial Risks, Department of Management, Technologyand Economics, ETH Zurich, and Specially-Appointed Professor, World Research HubInitiative, Tokyo Institute of Technology.
Takayasu, HidekiSenior Researcher, Sony Computer Science Laboratories, and Specially-AppointedProfessor, Institute of Innovative Research, Tokyo Institute of Technology.
Takayasu, Misako
Professor, Research Unit Leader of Advanced Data Analysis and Modeling Research Unit,
Institute of Innovative Research, Tokyo Institute of Technology
Yamada, Kenta
Adjunct Lecturer, Institute of Innovative Research, Tokyo Institute of Technology

Yamada, Masahiro
Research Affiliate, Institute of Economic Research, Hitotsubashi University, andEconomist, Country Credit Department, Japan Bank for International Cooperation

政策研究大学院大学（GRIPS）へのアクセス

本学にお越しになるには、都営大江戸線六本木駅、東京メトロ日比谷線六本木駅、東京メト
ロ千代田線乃木坂駅をご利用ください。


都営大江戸線 を利用する場合
六本木駅から徒歩 5 分、7 出口から出て、ファミリーマート方面へ信号を渡ります。ファミリーマート前から、右（乃木坂方面）へ進むと、左手に細い道（龍土町美術館通り）がありますので、その道を進みます。突き当りまで来たら、左に進み、横断歩道を渡ると、本学の正門です。



東京メトロ日比谷線 を利用する場合
六本木駅から徒歩 10 分、4A 出口から出て、六本木交差点を左に曲がります。そのまま乃木坂方面へ直進し、ファミリーマートを過ぎ、少し進むと、左手に細い道（龍土町美術館通り）がありますので、その道を進みます。つき当りまで来たら、左に進み、横断歩道を渡ると、本学の正門です。



東京メトロ千代田線 を利用する場合
乃木坂駅から徒歩 6 分 5 出口から出て、左へ進みます。六本木トンネルを通り終えたら、横断歩道を渡らず、そのまま左に進みます。しばらく進むと、本学の南門です。

＜日本語＞ http://www.grips.ac.jp/jp/about/access/＜English＞ http://www.grips.ac.jp/en/about/access/Getting to GRIPSThe GRIPS building is located right in the center of Tokyo with convenient access by publictransport. Both Nogizaka station on the Chiyoda line and Roppongi station on the Oedo lineand Hibiya line are within 10 minutes walking distance.

Access by Public Transport

From Narita Airport to Roppongi via Tokyo by Narita Express: 1 hour 30 minutes
From Narita Airport to Roppongi via Nippori by Skyliner: 1 hour 15 minutes
From Haneda Airport to Roppongi by Tokyo Monorail: 40 minutes
From Tokyo to Roppongi: 17 minutes

From exit no. 7 at Roppongi station on the Toei Oedo Line: 5 minutes walk
From exit no. 4a at Roppongi station on the Tokyo Metro Hibiya Line: 10 minutes walk
From exit no. 5 at Nogizaka station on the Tokyo Metro Chiyoda Line: 6 minutes walk