什么在驱动高频外汇走势？

Global What is driving high-frequency FX? Rohini Grover, Ph.D. Main highlights of the High-Frequency monitor: nThe influence of other assets on FX has picked up compared to a week ago.While US equities continue to be the primary driver of high-frequency FXmovements, VIX has shown a substantially bigger influence compared tolast week. At the third position, we have US rates that also showed amoderate pick-up in influence. In contrast, the statistical influence of EMequities has fallen. Christabel CharlesResearch Analyst nAUD/USD is currently the most sensitive currency pair. Its high-frequencymovements are driven by Australian, US, and EM equities, along withcopper. The pair shows a strong positive correlation with US equities and anegative correlation with VIX. nAmong yen pairs, USD/JPY's movements are driven by US equities, whileAUD/JPY is influenced by Australian equities. Over the past three months,historical data indicates that US equities and rates impacted AUD/JPY onapproximately 70% of days, with VIX influencing it on about 25% of days. nBitcoin's primary driver is US equities, and it maintains strong correlationswith VIX, US, and EM equities. Gold is currently driven by oil and showsgood correlation with copper, US, and EM equities. 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 is theprimary contemporaneous driver of high-frequency FX movements. 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. 27 October 2025FX Blog Figure 11: Cross-asset correlation Figure 12: Cross-currency correlation 27 October 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. 27 October 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 pe