Related papers: Modeling a foreign exchange rate using moving aver…
Multivariate dynamic time series models are widely encountered in practical studies, e.g., modelling policy transmission mechanism and measuring connectedness between economic agents. To better capture the dynamics, this paper proposes a…
We present a simple model that allows hysteresis loops with exchange bias to be reproduced. The model is a modification of the T=0 random field Ising model driven by an external field and with synchronous local relaxation dynamics. The main…
We develop an exchange rate target zone model with finite exit time and non-Gaussian tails. We show how the tails are a consequence of time-varying investor risk aversion, which generates mean-preserving spreads in the fundamental…
In this work, we employ autoregressive models developed in financial engineering for modeling of forest dynamics. Autoregressive models have some theoretical advantage over currently employed forest modeling approaches such as Markov chains…
Standard dynamics models for continuous control make use of feedforward computation to predict the conditional distribution of next state and reward given current state and action using a multivariate Gaussian with a diagonal covariance…
In this work, we investigate a biased dollar exchange model with collective debt limit, in which agents picked at random (with a rate depending on the amount of dollars they have) give at random time a dollar to another agent being picked…
In this chapter we review some recent results on the dynamics of price formation in financial markets and its relations with the efficient market hypothesis. Specifically, we present the limit order book mechanism for markets and we…
New fast estimation methods stemming from control theory lead to a fresh look at time series, which bears some resemblance to "technical analysis". The results are applied to a typical object of financial engineering, namely the forecast of…
A dynamical model is introduced for the formation of a bullish or bearish trends driving an asset price in a given market. Initially, each agent decides to buy or sell according to its personal opinion, which results from the combination of…
We investigate the financial market dynamics by introducing a heterogeneous agent-based opinion formation model. In this work, we organize the individuals in a financial market by their trading strategy, namely noise traders and…
Synchronization is a phenomenon in which a pair of fluctuations adjust their rhythms when interacting with each other. We measure the degree of synchronization between the U.S. dollar (USD) and euro exchange rates and between the USD and…
We introduce a method to infer lead-lag networks of agents' actions in complex systems. These networks open the way to both microscopic and macroscopic states prediction in such systems. We apply this method to trader-resolved data in the…
The scaling properties encompass in a simple analysis many of the volatility characteristics of financial markets. That is why we use them to probe the different degree of markets development. We empirically study the scaling properties of…
The paper proposes a class of financial market models which are based on inhomogeneous telegraph processes and jump diffusions with alternating volatilities. It is assumed that the jumps occur when the tendencies and volatilities are…
We employ the thermal optimal path method to explore both the long-term and short-term interaction patterns between the onshore CNY and offshore CNH exchange rates (2012-2015). For the daily data, the CNY and CNH exchange rates show a weak…
This work is concerned with autoregressive prediction of turning points in financial price sequences. Such turning points are critical local extrema points along a series, which mark the start of new swings. Predicting the future time of…
We present a detailed study of the performance of a trading rule that uses moving average of past returns to predict future returns on stock indexes. Our main goal is to link performance and the stochastic process of the traded asset. Our…
Electricity price forecasting is an essential task in all the deregulated markets of the world. The accurate prediction of the day-ahead electricity prices is an active research field and available data from various markets can be used as…
Selecting an appropriate statistical model to forecast exchange rates is still today a relevant issue for policymakers and central bankers. The so-called Meese and Rogoff puzzle assesses that exchange rate fluctuations are unpredictable. In…
The use of moving averages is pervasive in macroeconomic monitoring, particularly for tracking noisy series such as inflation. The choice of the look-back window is crucial. Too long of a moving average is not timely enough when faced with…