Related papers: Scaling Analysis on Indian Foreign Exchange Market
The study is conducted to establish the framework for comparing the relation in performance of the derivatives of BSE and NSE in India and to analyse the relationship of derivatives with the cash market and the market volatility. The…
This paper discusses the dynamics of intraday prices of twelve cryptocurrencies during last months' boom and bust. The importance of this study lies on the extended coverage of the cryptoworld, accounting for more than 90\% of the total…
Multifractal detrended cross-correlation methodology is described and applied to Foreign exchange (Forex) market time series. Fluctuations of high frequency exchange rates of eight major world currencies over 2010-2018 period are used to…
The complexity and ambiguity of financial and economic systems, along with frequent changes in the economic environment, have made it difficult to make precise predictions that are supported by theory-consistent explanations. Interpreting…
An Entropic Dynamics of exchange rates is laid down to model the dynamics of foreign exchange rates, FX, and European Options on FX. The main objective is to represent an alternative framework to model dynamics. Entropic inference is an…
Our previous research has confirmed that the USD/JPY rate tends to rise toward 9:55 every morning in the Gotobi days, which are divisible by five. This is called the Gotobi anomaly. In the present study, we verify the possible trading…
In this article, we investigate whether exchange rate risk is priced. We use a multivariate GARCH-in-Mean specification and test alternative conditional international CAPM versions. Our results support strongly the international…
The vast literature on exchange rate fluctuations estimates the exchange rate pass-through (ERPT). Most ERPT studies consider annually aggregated data for developed or large developing countries for estimating ERPT. These estimates vary…
In the late 90's, after severe financial and economic crisis, accompanied by inflation and exchange rate instability, Eastern Europe emerged into two groups of countries with radically contrasting monetary regimes (Currency Boards and…
We show that the amount of foreign exchange reserves (FER) in the world in a given currency is highly correlated with the GDP and military spending of that country for a set of western economies during the last 20 years. Taking into account…
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 $N$…
We use techniques from network science to study correlations in the foreign exchange (FX) market over the period 1991--2008. We consider an FX market network in which each node represents an exchange rate and each weighted edge represents a…
In this paper, we consider the Heston-CIR model with L\'{e}vy process for pricing in the foreign exchange (FX) market by providing a new formula that better fits the distribution of prices. To do that, first, we study the existence and…
The multifractal behavior for tick data of prices is investigated in Korean financial market. Using the rescaled range analysis(R/S analysis), we show the multifractal nature of returns for the won-dollar exchange rate and the KOSPI. We…
The development of artificial intelligence has made significant contributions to the financial sector. One of the main interests of investors is price predictions. Technical and fundamental analyses, as well as econometric analyses, are…
We develop a model where currency issuers provide liquidity, while users in a trade network choose currency usage for trade settlement. We identify a feedback mechanism where a user's currency preference spillovers to others and increases…
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…
The currency carry trade is the investment strategy that involves selling low interest rate currencies in order to purchase higher interest rate currencies, thus profiting from the interest rate differentials. This is a well known financial…
This study analyzes the impacts of exchange rate and inflation on exports in Turkiye. Annual data for the period 1995-2023 were used in the analysis. The Johansen cointegration analysis and Dynamic Least Squares (DOLS) method were employed…
We analyze waiting times for price changes in a foreign currency exchange rate. Recent empirical studies of high frequency financial data support that trades in financial markets do not follow a Poisson process and the waiting times between…