什么在驱动高频外汇交易？

What is driving high-frequency FX? Rohini Grover, Ph.D.Strategist+44-20-754-75907 Main highlights of the High-Frequency monitor: Recent subdued FX volatility has maintained a weak overall connection betweenassetclasses and foreign exchange,with roughly 60%of our currenciesinfluenced by various asset classes. While US equities and Oil combined have abroader influence than US rates and EM equities, the influence of US rates hasnotably strengthened over the past fortnight. Christabel CharlesResearch Analyst Historical impact of key asset classes on FX:Our historical analysis over the pastthree months reveals that US equities have impacted USD/TRY and USD/CHF onover 80% of days. US rates have also exerted influence on CHF pairs (EUR/CHFand USD/CHF), on more than 50% of days. Meanwhile, Oil's influencewas evidenton EUR/NOK on approximately 60% of days. Digging deeper into specific pairs: EUR/NOK: This has been the top currency pair driven by EU, US and EM equitiesalong with US rates and Oil. EUR/USD: The pair's movements are linked to EU equities and Oil. CHF pairs: EUR/CHF is driven by EU, US, and EM equities, whereas USD/CHF isspecifically influenced by US equities and rates. USD/JPY and GBP/USD: These currencies are currently not being influenced byother asset classes but potentially driving them. Contemporaneous effects between FX and other assetclasses: Strong positivecorrelations with US equities are evident in XBT/USD, AUD/JPY, and theAntipodean. US rates demonstrate a strong positive relationship with USD/JPY,anda strong negative relationship with GBP/USD,EUR/USD,and theAntipodean. Furthermore, Oil holds a strong negative correlation with EUR/NOK.Finally, based on correlation-based Minimum Spanning Trees, EM equitiesconsistentlystand out as the dominant contemporaneous driver of high-frequency FX movements, with VIX and US rates remaining significant secondarydrivers. Distributed on: 09/12/2025 11:08:19 GMTDistributed on: 09/12/2025 11:08:19 GMTFigure1,Figure3andFigure13look at causality in FX.Figure1shows the currencieswhose moves can be statistically predicted by other asset classes.Figure3ranksthe drivers of FX (highest to lowest number of currencies, driven by a given asset).Figure13shows the relative importance of each asset in driving a given currencyin the recent period.Figure11looks at contemporaneous correlations. We showthe top 3 correlations between FX pairs and other asset classes.Figure12showsintra-FX correlations. We use Granger causality tests to measure causality. Allstatistics measured at 5-minute frequency. For further details, please see ourupdatedmethodology. For a summary of ourFX quant tools, please also see DBFX research quant tools. Source:Deutsche Bank Research * % of days since 1st April 2021 each currency isdriven by other assets. For example, USDCHF is driven by US rates 60% of the days. Source:Deutsche Bank Research * % of days since 1st April 2021 each currency isdriven by other assets. For example, USDCHF is driven by US rates 60% of the days. Source:Deutsche Bank, EBS, Reuters We compute daily correlations using log pricechanges sampled at 5 minutes frequency and take an average of the daily correlationsover the past five days to arrive at the final 5-day correlation numbers. Source:Deutsche Bank, EBS, Reuters. We compute daily correlations using log pricechanges sampled at 5 minutes frequency and take an average of the daily correlationsover the past five days to arrive at the final 5-day correlation numbers. Source:Deutsche Bank, EBS, Reuters We compute daily correlations using log pricechanges sampled at 5 minutes frequency and take an average of the daily correlationsover the past five days to arrive at the final 5-day correlation numbers. Figure12:Cross-currency correlation 9 December 2025FX Blog Appendix 1 Analyst Certification The views expressed in this report accurately reflect the personal views of the undersigned lead analyst(s). Inaddition, the undersigned lead analyst(s) has not and will not receive any compensation for providing a specificrecommendation or view in thisreport. Rohini Grover, Ph.D.. Important Disclosures 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, subjectcompanies, and other sources. For further information regarding disclosures relevant to Deutsche Bank Research,please visit our global disclosure look-up page on our website at https://research.db.com/Research/Disclosures/FICCDisclosures. Aside from within this report, important risk andconflict disclosures can also be found athttps://research.db.com/Research/Disclosures/Disclaimer. Investors arestrongly encouraged to review this information before investing. 9 December 2025FX Blog Additional Information The information and opinions in this report were prepared by Deutsche Bank AG or one of its