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International Conference onHigh Frequency Exchange Rate Dynamics:
Econophysics and Econometric Analysis Based on the EBS data sets1+-+-+-+-+-+-+-+-+-+-+-+-+-+-+-+-+-+-+-+-+-+-+-+-+-+-+-+-+-+-+-+-+-+-+-+-+
Date & Time: Saturday, March 11, 20179:15 - 16:50
Venue:GRIPS Research Meeting Room 4A (4th Floor)
9:15 - 9:30

Introductory Remarks

Takatoshi Ito“Machines vs. Humans: Will Human Forex Dealers become Extinct?”
9:30 - 10:15

Econometric analysis I

Takatoshi Ito and Masahiro Yamada“Puzzles in the Tokyo Fixing in the Forex Market: Order Imbalances and Bank Pricing”
Discussant:Carol Osler

10:15 - 10:30

Break

10:30 - 11:15

Econometric analysis II

Takatoshi Ito and Masahiro Yamada“Did the 2015 Reform Fix the London Fix problem?“
Discussant:11:15 - 12:00

Carol Osler

Econometric analysis III

Takatoshi Ito, Kenta Yamada, Misako Takayasu, Hideki Takayasu“Free Lunch! Implementable Arbitrage Opportunities in the Foreign Exchange Markets”
Discussant:12:00 - 13:30

1Junko Shimizu

Lunch

This conference is organized with support from the Grant-in-aid, Japan Society for the Promotionof Science (JSPS), A-25245044.

13:30 - 14:15

Econophysics I

Misako Takayasu“Review of Econophysics Approaches to High Frequency Foreign Exchange arkets”
14:20 - 15:05

Econophysics IIKiyoshi Kanazawa, Takumi Sueshige, Hideki Takayasu, Misako Takayasu“Application of Molecular Kinetic Theory to Financial Brownian Motion”
15:05 - 15:35

Break

15:35 - 16:20

Econophysics IIIDidier Sornette“Currency dynamics modelling and empirics”
16:20 - 16:50

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

List of participants (Speakers, Coauthors and Discussants)
In Alphabetical OrderIto, 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
Osler, Carol L
Professor of Finance in the Brandeis International Business School
Shimizu, Junko
Professor, Faculty of Economics, Gakushuin University
Sornette, Didier
Professor on the Chair of Entrepreneurial Risks, Department of Management,Technology and Economics, ETH Zurich, and Specially-Appointed Professor, WorldResearch Hub Initiative, Tokyo Institute of Technology.
Sueshige, Takumi
A Ph.D. course student, School of Computing, Tokyo Institute of Technology
Takayasu, Hideki
Senior Researcher, Sony Computer Science Laboratories, and Specially-AppointedProfessor, Institute of Innovative Research, Tokyo Institute of Technology.
Takayasu, Misako
Associate Professor, Research Unit Leader of Advanced Data Analysis and ModelingResearch Unit, Institute of Innovative Research, Tokyo Institute of Technology
Yamada, Kenta
Research Assistant Professor, National Institute of Informatics
Yamada, MasahiroAssistant Professor, Graduate School of Economics, Hitotsubashi University.

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/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
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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