Related papers: Scaling Analysis on Indian Foreign Exchange Market
We show that fluctuations in the ratio of non-core to core funding in the banking systems of advanced economies are largely driven by three global factors of both real and financial natures, with country-specific factors playing only a…
In this paper we test the random walk hypothesis on the high frequency dataset of the bid--ask Deutschemark/US dollar exchange rate quotes registered by the inter-bank Reuters network over the period October 1, 1992 to September 30, 1993.…
Changes (returns) in stock index prices and exchange rates for currencies are argued, based on empirical data, to obey a stable distribution with characteristic exponent $ \alpha < 2 $ for short sampling intervals and a Gaussian…
The evolution of the probability distributions of Japan and US major market indices, NIKKEI 225 and NASDAQ composite index, and $JPY/DEM$ and $DEM/USD$ currency exchange rates is described by means of the Fokker-Planck equation (FPE). In…
We study the local volatility function in the Foreign Exchange market where both domestic and foreign interest rates are stochastic. This model is suitable to price long-dated FX derivatives. We derive the local volatility function and…
The collateral choice option gives the collateral posting party the opportunity to switch between different collateral currencies which is well-known to impact the asset price. Quantification of the option's value is of practical importance…
When trading American and Asian options in the FX derivatives market, banks must calculate prices using a complex mathematical model. It is often observed that different models produce varying prices for the same exotic option, which…
This study examines the factors influencing the short-term real effective exchange rate (REER) in Uruguay by applying an extended Mundell-Fleming model. Analyzing the impact of the US lending rate (USLR), money supply (M2), inflation (CPI),…
On 23rd June 2016, 51.9% of British voters voted to leave the European Union, triggering a process and events that have led to the United Kingdom leaving the EU, an event that has become known as 'Brexit'. In this piece of research, we…
Financial markets can be seen as complex systems in non-equilibrium steady state, one of whose most important properties is the distribution of price fluctuations. Recently, there have been assertions that this distribution is qualitatively…
During his state visit to China in April 2023, Brazilian President Lula proposed the creation of a trade currency supported by the BRICS countries. Using the United Nations Comtrade database, providing the frame of the world trade network…
The value of an asset in a financial market is given in terms of another asset known as numeraire. The dynamics of the value is non-stationary and hence, to quantify the relationships between different assets, one requires convenient…
We measure the influence of different time-scales on the dynamics of financial market data. This is obtained by decomposing financial time series into simple oscillations associated with distinct time-scales. We propose two new time-varying…
This non-linear relationship in the joint time-frequency domain has been studied for the Indian National Stock Exchange (NSE) with the international Gold price and WTI Crude Price being converted from Dollar to Indian National Rupee based…
Intuitively, the default risk of a single borrower is higher when her or his assets and debt are denominated in different currencies. Additionally, the default dependence of borrowers with assets and debt in different currencies should be…
This paper investigates the scaling dependencies between measures of "activity" and of "size" for companies included in the FTSE 100. The "size" of companies is measured by the total market capitalization. The "activity" is measured with…
The Foreign Exchange (Forex) is a large decentralized market, on which trading analysis and algorithmic trading are popular. Research efforts have been focusing on proof of efficiency of certain technical indicators. We demonstrate,…
Analogies between the price dynamics in the foreign exchange market and 3-dimensional fully developed turbulence were recently presented in Nature vol. 381, 767-769 (1996). Independently, we have carried out a study comparing the parallel…
The article is concerned with the problem of multi-step financial time series forecasting of Foreign Exchange (FX) rates. To address this problem, we introduce a regression network termed RegPred Net. The exchange rate to forecast is…
Several works have observed heavy-tailed behavior in the distributions of returns in different markets, which are observable indicators of underlying complex dynamics. Such prior works study return distributions that are marginalized across…