Related papers: Queueing theoretical analysis of foreign currency …
This study investigates that a characteristic time scale on an exchange rate market (USD/JPY) is examined for the period of 1998 to 2000. Calculating power spectrum densities for the number of tick quotes per minute and averaging them over…
In this paper we study empirically the Forward Rate Curve (FRC) of 5 different currencies. We confirm and extend the findings of our previous investigation of the U.S. Forward Rate Curve. In particular, the average FRC follows a square-root…
In this paper, we consider the number of both arrivals and departures seen by a tagged customer while in service in a classical $M/M/1$ processor sharing queue. By exploiting the underlying orthogonal structure of this queuing system…
This paper models yearly exchange rates between USD/KZT, EUR/KZT and SGD/KZT, and compares the actual data with developed forecasts using time series analysis over the period from 2006 to 2014. The official yearly data of National Bank of…
An expanding literature articulates the view that Taylor rules are helpful in predicting exchange rates. In a changing world however, Taylor rule parameters may be subject to structural instabilities, for example during the Global Financial…
Motivated by applications in online marketplaces such as ride-hailing platforms and payment channel networks, we study a single-server queue with state-dependent arrival control. The service operator dynamically chooses the arrival rate as…
A quantitative check of weak efficiency in US dollar/German mark exchange rates is developed using high frequency data. We show the existence of long term return anomalies. We introduce a technique to measure the available information and…
In todays global economy, accuracy in predicting macro-economic parameters such as the foreign the exchange rate or at least estimating the trend correctly is of key importance for any future investment. In recent times, the use of…
We analyze a tandem network of polling queues with two product types and two stations. We assume that external arrivals to the network follow a Poisson process, and service times at each station are exponentially distributed. For this…
We consider a general queueing system with price-sensitive customers in which the service provider seeks to balance two objectives, maximizing the average revenue rate and minimizing the average queue length. Customers arrive according to a…
In a natural market environment, the price prediction model needs to be updated in real time according to the data obtained by the system to ensure the accuracy of the prediction. In order to improve the user experience of the system, the…
This study considers the multivariate segmentation procedure under the assumption of the multivariate Gaussian mixture. Jensen-Shannon divergence between two multivariate Gaussian distributions is employed as a discriminator and a recursive…
In this paper we consider a single-server, cyclic polling system with switch-over times and Poisson arrivals. The service disciplines that are discussed, are exhaustive and gated service. The novel contribution of the present paper is that…
Technical analysis is used to discover investment opportunities. To test this hypothesis we propose an hybrid system using machine learning techniques together with genetic algorithms. Using technical analysis there are more ways to…
Recent studies have shown the classification and prediction power of the Neural Networks. It has been demonstrated that a NN can approximate any continuous function. Neural networks have been successfully used for forecasting of financial…
This paper proposes a target zones exchange rate model with a terminal condition of entering a currency zone. It is assumed that the exchange rate is a function of the fundamental and time. Another essential assumptions of the model is that…
This study considers the availability of room opportunities collected from a Japanese hotel booking site. We empirically analyze the daily number of room opportunities for four areas. To determine the migration trends of travelers, we…
It is shown that prize changes of the US dollar - German Mark exchange rates upon different delay times can be regarded as a stochastic Marcovian process. Furthermore we show that from the empirical data the Kramers-Moyal coefficients can…
We investigate the herd behavior of returns for the yen-dollar exchange rate in the Japanese financial market. It is obtained that the probability distribution $P(R)$ of returns $R$ satisfies the power-law behavior $P(R) \simeq R^{-\beta}$…
The cross-correlations between the exchange rate fluctuations of 74 currencies over the period 1995-2012 are analyzed in this paper. The eigenvalue distribution of the cross-correlation matrix exhibits a bulk which approximately matches the…