相关论文: World currency exchange rate cross-correlations

Lead-lag relationships among assets represent a useful tool for analyzing high frequency financial data. However, research on these relationships predominantly focuses on correlation analyses for the dynamics of stock prices, spots and…

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…

Many studies have shown that there are good reasons to claim very low predictability of currency nevertheless, the deviations from true randomness exist which have potential predictive and prognostic power [J.James, Quantitative finance 3…

We analyzed cross-correlations between price fluctuations of global financial indices (20 daily stock indices over the world) and local indices (daily indices of 200 companies in the Korean stock market) by using random matrix theory (RMT).…

The review introduces the history of cryptocurrencies, offering a description of the blockchain technology behind them. Differences between cryptocurrencies and the exchanges on which they are traded have been shown. The central part…

We first show that there are in fact triangular arbitrage opportunities in the spot foreign exchange markets, analyzing the time dependence of the yen-dollar rate, the dollar-euro rate and the yen-euro rate. Next, we propose a model of…

Gold and currency markets form a unique pair with specific interactions and dynamics. We focus on the efficiency ranking of gold markets with respect to the currency of purchase. By utilizing the Efficiency Index (EI) based on fractal…

Being archetypal complex systems, financial markets exhibit rich set of dynamics in their interactions. In this paper, we focus on the recently evolved cryptocurrency market as an example of a complex system and analyse the evolution of…

The Foreign Exchange market is a significant market for speculators, characterized by substantial transaction volumes and high volatility. Accurately predicting the directional movement of currency pairs is essential for formulating a sound…

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.…

This paper investigates arbitrage chains involving four currencies and four foreign exchange trader-arbitrageurs. In contrast with the three-currency case, we find that arbitrage operations when four currencies are present may appear…

Globalization processes interweave economic structures at a worldwide scale, trade playing a central role as one of the elemental channels of interaction among countries. Despite the significance of such phenomena, measuring economic…

The emergence of cryptoassets has sparked a paradigm shift in the world of finance and investment, ushering in a new era of digital assets with profound implications for the future of currency and asset management. A recent study showed…

We investigate the daily correlation present among market indices of stock exchanges located all over the world in the time period Jan 1996 - Jul 2009. We discover that the correlation among market indices presents both a fast and a slow…

The prediction of foreign exchange rates, such as the US Dollar (USD) to Bangladeshi Taka (BDT), plays a pivotal role in global financial markets, influencing trade, investments, and economic stability. This study leverages historical…

Portfolio optimisation typically aims to provide an optimal allocation that minimises risk, at a given return target, by diversifying over different investments. However, the potential scope of such risk diversification can be limited if…

We analyze high-resolution foreign exchange data consisting of 20 million data points of USD-JPY for 13 years to report firm statistical laws in distributions and correlations of exchange rate fluctuations. A conditional probability density…

The Euro (EUR) has been a currency introduced by the European Community on Jan. 01, 1999. This implies eleven countries of the European Union which have been found to meet the five requirements of the Maastricht convergence criteria. In…

We quantify how co-jumps impact correlations in currency markets. To disentangle the continuous part of quadratic covariation from co-jumps, and study the influence of co-jumps on correlations, we propose a new wavelet-based estimator. The…

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…