是什么推动了高频外汇交易？

FX Blog What is driving high-frequency FX? Rohini Grover, Ph.D.Strategist Main highlights of the High-Frequencymonitor: Easing Greenland tensions have supported a fourth straight gain for the S&P 500.With the FOMC meeting approaching, US equities are exerting a strongerinfluence on FX, now affecting roughly half of all currencies.This level ofinfluence, however, remains belowlast year’s. Furthermore, the overall impact of Christabel CharlesResearch Analyst Regarding other drivers, the influence of EM equities and Oil on high-frequencymovements has marginally increased year-over-year, while US rates' influence Impact of key asset classes on FX:Within theG10 space,GBP/USD and gold arebeing driven by US equities, while USD/JPY is influenced by both US equities andOil.Other pairs influenced by US equites include AUD/JPY,EUR/NOK, Digging deeper into specific pairs:EUR/NOK has emerged as the top currencypair driven by EU, US, and EM equities, as well as Oil. AUD/JPY ranks as thesecond top currency pair influenced by AU, US, and EM equities, in addition to Historical impact ofUS equitieson FX:Our historical analysis indicatesthatUSequitieshavedriven most currencies ona lowernumber of daysover the pastthree monthscompared to the longer-term historical average. Specifically,USD/ZAR and USD/CHFhave been driven by US equitieson over 80% of days Contemporaneouseffects between FX and other asset classes reveal aconsistent narrative: the correlation betweencurrencies and US equities hasincreased from a week ago, though it remains below levels observed a monthprior.Notably,XBT/USD and Antipodean currencies exhibit the strongestpositive correlation with US equities. These pairs also demonstrate a positivecorrelation with EM equities, which is even stronger than their correlation with USequities.Similarly,EM currencies such as MXN and ZAR display a more Figure1,Figure3andFigure13look at causality in FX.Figure1shows the currencieswhose moves can be statistically predicted by other asset classes.Figure3ranks the 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.Figure12shows Source:Deutsche Bank, EBS, Reuters; Total number of currencies = 19 Source:DeutscheBank, EBS, Reuters; 4-week rolling average connections 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 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; 4-weekrolling average connections Source:Deutsche Bank Research, EBS, Reuters. We compute daily correlations using log price changes sampled at 5 minutes frequency and take an average of the daily correlations 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 specific 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, subject 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 are Additional Information The information and opinions in this report were prepared by Deutsche Bank AG or one of its affiliates (collectively'Deutsche Bank'). Though the information herein is believed to be reliable and has been obtained from public sourcesbelieved to be reliable, Deutsche Bank makes no representation as to its accuracy or completeness. Hyperlinks to If you use the services of Deutsche Bank in connection with a purchase or sale of a security that is discussed in thisreport, or is included or discussed in another communication (oral or written) from a Deutsche Bank analyst, Deutsche Deutsche Bank may consider this report in deciding to trade as principal. It may also engage in transactions, for itsown account or with customers, in a manner inconsistent with the views taken in this research report. Others withinDeutsche Bank, including strategists, sales staff and other analysts, may take views that are inconsistent with thoset