Related papers: Lead-lag Relationships in Foreign Exchange Markets
A leveraged ETF is a fund aimed at achieving a rate of return several times greater than that of the underlying asset such as Nikkei 225 futures. Recently, it has been suggested that rebalancing trades of a leveraged ETF may destabilize the…
This paper investigates the so-called leakage effect of trading strategies generated functionally from rank-dependent portfolio generating functions. This effect measures the loss in wealth of trading strategies due to renewing the…
We examine the Foreign Exchange (FX) spot price spreads with and without Last Look on the transaction. We assume that brokers are risk-neutral and they quote spreads so that losses to latency arbitrageurs (LAs) are recovered from other…
We study the time dependent cross correlations of stock returns, i.e. we measure the correlation as the function of the time shift between pairs of stock return time series using tick-by-tick data. We find a weak but significant effect…
Using a recently introduced method to quantify the time varying lead-lag dependencies between pairs of economic time series (the thermal optimal path method), we test two fundamental tenets of the theory of fixed income: (i) the stock…
The foreign exchange market has taken an important role in the global financial market. While foreign exchange trading brings high-yield opportunities to investors, it also brings certain risks. Since the establishment of the foreign…
We revisit the index leverage effect, that can be decomposed into a volatility effect and a correlation effect. We investigate the latter using a matrix regression analysis, that we call `Principal Regression Analysis' (PRA) and for which…
Using a two-point correlation technique, we study emergence of market efficiency in the emergent Russian futures market by focusing on lagged correlations. The correlation strength of leader-follower effects in the lagged inter-market…
Relational arrays represent measures of association between pairs of actors, often in varied contexts or over time. Trade flows between countries, financial transactions between individuals, contact frequencies between school children in…
Dealers in foreign exchange markets provide bid and ask prices to their clients at which they are happy to buy and sell, respectively. To manage risk, dealers can skew their quotes and hedge in the interbank market. Hedging offers certainty…
Specialized topics on financial data analysis from a numerical and physical point of view are discussed. They pertain to the analysis of crash prediction in stock market indices and to the persistence or not of coherent and random sequences…
We study the structure of the international trade hypergraph consisting of triangular hyperedges representing the exporter-importer-product relationship. Measuring the mean hyperdegree of the adjacent vertices, we first find its behaviors…
In this paper we study data from financial markets using an information-theory tool that we call the normalised Mutual Information Rate and show how to use it to infer the underlying network structure of interrelations in foreign currency…
Daily leveraged exchange traded funds amplify gains and losses of their underlying benchmark indexes on a daily basis. The result of going long in a daily leveraged ETF for more than one day is less clear. Here, bounds are given for the…
Blockchain finance has become a part of the world financial system, most typically manifested in the attention to the price of Bitcoin. However, a great deal of work is still limited to using technical indicators to capture Bitcoin price…
We show that time-dependent fluctuations $\{\Delta x\}$ in foreign exchange rates are accurately described by a random walk in a complex plane that is demarcated into the gain (+) and loss (-) sectors. $\{\Delta x\}$ is the outcome of $N$…
In today's increasingly international economy, return and volatility spillover effects across international equity markets are major macroeconomic drivers of stock dynamics. Thus, information regarding foreign markets is one of the most…
Link prediction appears as a central problem of network science, as it calls for unfolding the mechanisms that govern the micro-dynamics of the network. In this work, we are interested in ego-networks, that is the mere information of…
In a universe with a single currency, there would be no foreign exchange market, no foreign exchange rates, and no foreign exchange. Over the past twenty-five years, the way the market has performed those tasks has changed enormously. The…
The goal of developing a firmer theoretical understanding of inhomogenous temporal processes -- in particular, the waiting times in some collective dynamical system -- is attracting significant interest among physicists. Quantifying the…