Related papers: Structure and evolution of the foreign exchange ne…
This study investigates whether Topological Data Analysis (TDA) can provide additional insights beyond traditional statistical methods in clustering currency behaviours. We focus on the foreign exchange (FX) market, which is a complex…
There are many studies dealing with the analysis of similarity among currencies in foreign exchange market by using network analysis approach. In those studies, each currency is represented by a univariate time series of exchange rate…
We present a systematic study of various statistical characteristics of high-frequency returns from the foreign exchange market. This study is based on six exchange rates forming two triangles: EUR-GBP-USD and GBP-CHF-JPY. It is shown that…
A fundamental problem in the study of networks is the identification of important nodes. This is typically achieved using centrality metrics, which rank nodes in terms of their position in the network. This approach works well for static…
We study the long memory of order flow for each of three liquid currency pairs on a large electronic trading platform in the foreign exchange (FX) spot market. Due to the extremely high levels of market activity on the platform, and in…
In this paper we aim to improve existing empirical exchange rate models by accounting for uncertainty with respect to the underlying structural representation. Within a flexible Bayesian non-linear time series framework, our modeling…
There is intense interest in understanding the stochastic and dynamical properties of the global Foreign Exchange (FX) market, whose daily transactions exceed one trillion US dollars. This is a formidable task since the FX market is…
Cryptocurrencies have recently been in the spotlight of public debate due to their embrace by the new US President, with crypto fans expecting a 'bull run'. The global cryptocurrency market capitalisation is more than \$3.50 trillion, with…
Foreign currency exchange plays a vital role for trading of currency in the financial market. Due to its volatile nature, prediction of foreign currency exchange is a challenging task. This paper presents different machine learning…
Exchange arrangements among different countries over the world are foundations of the world economy, which generally stand behind the daily economic evolution. As the first study of the world exchange arrangements web (WEAW), we built a…
This thesis applies entropy as a model independent measure to address three research questions concerning financial time series. In the first study we apply transfer entropy to drawdowns and drawups in foreign exchange rates, to study their…
On Jan. 1, 1999 the European Union introduced a common currency Euro ($EUR$), to become the legal currency in all eleven countries which form the $EUR$. In order to test the $EUR$ behavior and understand various features, the $EUR$ exchange…
This paper studies the statistical properties of the web of import-export relationships among world countries using a weighted-network approach. We analyze how the distributions of the most important network statistics measuring…
Accurate prediction of price behavior in the foreign exchange market is crucial. This paper proposes a novel approach that leverages technical indicators and deep neural networks. The proposed architecture consists of a Long Short-Term…
We study recurrent patterns in volatility and volume for major cryptocurrencies, Bitcoin and Ether, using data from two centralized exchanges (Coinbase Pro and Binance) and a decentralized exchange (Uniswap V2). We find systematic patterns…
The possibility to analyze everyday monetary transactions is limited by the scarcity of available data, as this kind of information is usually considered highly sensitive. Present econophysics models are usually employed on presumed random…
Based on the high-frequency recordings from Kraken, a cryptocurrency exchange and professional trading platform that aims to bring Bitcoin and other cryptocurrencies into the mainstream, the multiscale cross-correlations involving the…
We studied the topology of correlation networks among 34 major currencies using the concept of a minimal spanning tree and hierarchical tree for the full years of 2007-2008 when major economic turbulence occurred. We used the USD (US…
We study the frictions in the patterns of trades in the Euro money market. We characterize the structure of lending relations during the period of recent financial turmoil. We use network-topology method on data from overnight transactions…
We show that capital flow (CF) volatility exerts an adverse effect on exchange rate (FX) volatility, regardless of whether capital controls have been put in place. However, this effect can be significantly moderated by certain macroeconomic…