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2nd Annual International Conference onHigh Frequency Exchange Rate Dynamics:
Econophysics and Econometric/Theoretical Analysis
Based on the EBS data sets1+-+-+-+-+-+-+-+-+-+-+-+-+-+-+-+-+-+-+-+-+-+-+-+-+-+-+-+-+-+-+-+-+-+-+-+-+
Date & Time:
Friday, December 15, 20179:15 - 16:50
Venue:GRIPS Research Meeting Room 4A (4th Floor), Roppongi, Tokyo
9:15 - 9:30

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

Econometric/theoretical analysis I

Michael Melvin (UC San Diego) (and Duncan Shand)“Modeling Returns to Currency Speculation: The Importance of Accurate Trading Costs”
Discussant:Fumio Hayashi (GRIPS)

10:30 - 10:45

Coffee Break

10:45 - 11:45

Econometric/theoretical analysis II

Carol Osler (Brandeis) (and Alasdair Turnbull)“Dealer Trading at the Fix”
Discussant:11:50 - 12:15

Masahiro Yamada (Hitotsubashi University)

Survey and research direction of econometric analyses with high-frequency(EBS) dataTakatoshi Ito (Columbia University and GRIPS)
Masahiro Yamada (Hitotsubashi University and JBIC)

1This conference is organized with support from the Grant-in-aid (kaken), Japan Society for thePromotion of Science (JSPS), 17H00995.

12:15 - 13:30

Lunch(Business lunch for Core participants on future research direction)

13:30 - 14:15

Econophysics I

Misako Takayasu (Tokyo Institute of Technology)"Review of PUCK Models: From Microscopic Dealer model to Renormalized Macroscopic
Dynamics"
14:20 - 15:05

Econophysics II

Hideki Takayasu (Tokyo Institute of Technology)"Financial Brownian Motion: Applications of Field Theory, Langevin Equation and Knudsen
Number"15:05 - 15:20

Break

15:20 - 16:05

Econophysics III

Kiyoshi Kanazawa (Tokyo Institute of Technology)"Trajectory Analysis of High Frequency Traders: Ecology of Their Strategies"
16:05 - 16:30

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

Presentation 30 min; discussant 15 min; and floor discussion, 15 min.

Lunch
Lunch will be provided to speakers, coauthors and discussants. Observers are requested to go
outside of the building to have lunch and come back.

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 December 8) is needed due to space constraint and security. If you would liketo attend, 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
Hayashi, Fumio
Professor, National Graduate Institute for Policy Studies
Ito, Takatoshi
Senior Professor, National Graduate Institute for Policy Studies, andProfessor, School of International and Public Affairs, Columbia University
Kanazawa, KiyoshiAssistant Professor, Institute of Innovative Research, Tokyo Institute of Technology
Melvin, Michael
Professor, Rady School of Management, UC San DiegoOsler, Carol L
Professor of Finance in the Brandeis International Business SchoolTakayasu, Hideki
Senior Researcher, Sony Computer Science Laboratories, and Specially-Appointed
Professor, 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, 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。
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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。

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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。

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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
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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