是什么驱动了高频外汇市场？

Global What is driving high-frequency FX? Rohini Grover, Ph.D. Main highlights of the High-Frequency monitor: nA notable shift in FX market drivers occurred over the past week. Whilecopper's influence on high-frequency FX movements remains dominant,our statistical analysis reveals a considerable decline in the connectivity ofUS equities, US rates, and oil.nGBP/USD now exhibits the highest sensitivity to other asset classes, withAUD/JPY following closely. UK equities, UK rates, US rates and oil arecurrentlydrivingthehigh-frequencymovementsinGBP/USD.Contemporaneously, GBP/USD exhibits the strongest correlation with USrates, EM equities and Copper.nWhilesafe haven currencies USD/JPY and USD/CHF are typicallyinfluenced by other markets, they are currently exhibiting a driving force,showing the highest positive correlation with oil. USD/JPY also maintainsa strong correlation with US, UK, and EU rates.nNZD/USD and AUD/USD show a strong positive correlation with copperprices, with copper also driving over 70% of NZD/USD's movement in thepast three months. Contemporaneously, both antipodean currencies alsoexhibit strong correlations with EM equities and US rates.nWe also plot minimum spanning trees that identify assets that exertsignificant influence on multiple assets based on correlation. Based on ourcorrelation-based Minimum Spanning Trees (MSTs), EM equities continuestobe the primary contemporaneous driver of high-frequency FXmovements. Figure 1, Figure 3 and Figure 13 look at causality in FX. Figure 1 shows thecurrencies whose moves can be statistically predicted by other asset classes.Figure 3 ranks the drivers of FX (highest to lowest number of currencies, driven bya given asset). Figure 13 shows the relative importance of each asset in driving agivencurrency in the recent period.Figure 11 looks at contemporaneouscorrelations. We show the top 3 correlations between FX pairs and other assetclasses. Figure 12 shows intra-FX correlations. We use Granger causality tests tomeasure causality. All statistics measured at 5-minute frequency. For furtherdetails, please see our updated methodology. For a summary of our FX quant tools,please also see DB FX research quant tools. We compute daily correlations using log price changes sampled at 5 minutes frequency and take anaverage of the daily correlations over the past five days to arrive at the final 5-day correlation numbers. We compute daily correlations using log price changes sampled at 5 minutes frequency and take anaverage of the daily correlations over the past five days to arrive at the final 5-day correlation numbers. We compute daily correlations using log price changes sampled at 5 minutes frequency and take anaverage of the daily correlations over the past five days to arrive at the final 5-day correlation numbers. 21 July 2025FX Blog Figure 11: Cross-asset correlation Figure 12: Cross-currency correlation 21 July 2025FX Blog Appendix 1 Important Disclosures *Other information available upon request *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 companies,and other sources. For further information regarding disclosures relevant to Deutsche Bank Research, please visit our globaldisclosure look-up page on our website at https://research.db.com/Research/Disclosures/FICCDisclosures. Aside from withinthis report, important risk and conflict disclosures can also be found at https://research.db.com/Research/Disclosures/Disclaimer. Investors are strongly encouraged to review this information before investing. Analyst Certification The views expressed in this report accurately reflect the personal views of the undersigned lead analyst(s). In addition, theundersigned lead analyst(s) has not and will not receive any compensation for providing a specific recommendation or viewin this report. Rohini Grover. 21 July 2025FX Blog Additional Information The information and opinions in this report were prepared by Deutsche Bank AG or one of its affiliates (collectively 'DeutscheBank'). Though the information herein is believed to be reliable and has been obtained from public sources believed to bereliable, Deutsche Bank makes no representation as to its accuracy or completeness. Hyperlinks to third-party websites in thisreport are provided for reader convenience only. Deutsche Bank neither endorses the content nor is responsible for theaccuracy or security controls of those websites. If you use the services of Deutsche Bank in connection with a purchase or sale of a security that is discussed in this report, oris included or discussed in another communication (oral or written) from a Deutsche Bank analyst, Deutsche Bank may act asprincipal for its own account or as agent for another person. Deutsche Bank may consider this report in deciding to trade as principal. It may als