Studying high-frequency data helps capture the “psychological subtlety” of traders’ responses to policy announcements, according to research published by the Bank of Japan.

Koichiro Kamada, Tetsuo Kurosaki, Ko Miura and Tetsuya Yamada look at “tick-by-tick” trading data from government bond markets in an effort to gauge the impact of recent policy communications by the Japanese central bank. The approach helps to capture “surprising events” that have escaped the attention of earlier studies