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4th Annual International Conference onHigh Frequency Exchange Rate Dynamics:
Econophysics and Econometric/Theoretical Analysis1+-+-+-+-+-+-+-+-+-+-+-+-+-+-+-+-+-+-+-+-+-+-+-+-+-+-+-+-+-+-+-+-+-+-+-+-+
Date & Time:
Venue:
Organizer:
Contact:
9:15 - 9:30

Thursday, December 12, 20199:15 - 19:30
GRIPS Research Meeting Room
Roppongi, Tokyo
Takatoshi Ito, GRIPS and Columbia Universityt-ito2@grips.ac.jp

Introductory Remarks

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

FX Trading and the Exchange Rate Disconnect Puzzle

Martin Evans (Department of Economics, Georgetown University)
Discussant: Takatoshi Ito (Columbia University and GRIPS)
Discussant: Masahiro Yamada (Osaka University)
10:30 - 10:45

Coffee Break

10:45 - 11:45

Price Discovery and Liquidity Recovery: Forex Market Reactions to Macro
Announcements

Masahiro Yamada (Osaka University)
Takatoshi Ito (Columbia University and GRIPS)
Discussant: Martin Evans (Department of Economics, Georgetown University)
11:50 - 12:50

Stepping Out of the Limit Order Book: Empirical Evidence from the EBS FXmarket

Yushi Yoshida (Shiga University)
Masayuki Susai (Nagasaki University)
Discussant: Ryuichi Yamamoto (Waseda University)

1

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

13:00 - 14:20

Lunch Meeting: Institute of Risk-X in China

Didier Sornette (ETH Zurich)
14:25 - 15:25

Price discovery via limit order in FX market

Yoshihiro Kitamura (Waseda University)
Discussant: Makoto Takahashi (Hosei University)
15:30 - 16:30

Market impact and performance of arbitrageurs of financial bubbles in an agentbased model

Didier Sornette (ETH Zurich)
Discussant: Kenta Yamada (University of the Ryukyus)
16:30 - 16:50

Break

16:50 - 17:50

Microscopic view of competing dealers in the exchange market andMacroscopic view of abnormal trends

Hideki Takayasu (Tokyo Institute of Technology)
Takumi Sueshige (Tokyo Institute of Technology)
Kiyoshi Kanazawa (Tsukuba University)
Arthur Matsuo Yamashita Rios de Sousa (Tokyo Institute of Technology)
Misako Takayasu (Tokyo Institute of Technology)
17:50 - 18:15

Break

18:15 - 19:15

Discussions on Use of the EBS data and Future Research Agenda

19:15 - 19:30

Closing Remark++++++++++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/my_research.htm
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 November 30) is needed due to space constraint and security. If you would
like to attend, please send an email to t-ito2@grips.ac.jp to inquire with you name andaffiliation.

List of participants (Speakers, Coauthors and Discussants)
In Alphabetical OrderEvans, Martin
Professor, Department of Economics, Georgetown University
Ito, Takatoshi
Senior Professor, National Graduate Institute for Policy Studies, andProfessor, School of International and Public Affairs, Columbia University
Kanazawa, Kiyoshi
Assistant Professor, Faculty of Engineering, University of Tsukuba
Kitamura, Yoshihiro
Professor, School of Social Sciences, Waseda University
Sornette, Didier
Professor on the Chair of Entrepreneurial Risks, Department of Management, Technologyand Economics, ETH Zurich, andSpecially-Appointed Professor, World Research Hub Initiative, Tokyo Institute ofTechnology.
Takahashi, Makoto
Associate Professor, Faculty of Business Administration, Hosei University
Takayasu, Hideki
Senior Researcher, Sony Computer Science Laboratories, andSpecially-Appointed Professor, Institute of Innovative Research, Tokyo Institute ofTechnology.
Takayasu, Misako
Professor, Research Unit Leader of Advanced Data Analysis and Modeling Research Unit,
Institute of Innovative Research, Tokyo Institute of Technology
Yamada, Kenta
Associate Professor, Faculty of Global and Regional Studies, University of the Ryukyus
Yamada, Masahiro
Associate Professor, Center for Mathematical Modeling and Data Science, OsakaUniversity

Yamamoto, Ryuichi
Professor, School of Political Science and Economics, Waseda University
Yamashita Rios De Sousa, Arthur Matsuo
Postdoctoral Researcher, Advanced Data Analysis and Modeling Research Unit, Institute of
Innovative Research, Tokyo Institute of Technology
Yoshida, Yushi
Professor, Faculty of Economics, Shiga University

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＜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 public
transport. 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