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On the winning virtuous strategies for ultra high frequency electronic trading in foreign currencies exchange markets
Ledenyov, Dimitri O.; Ledenyov, Viktor O. - Volkswirtschaftliche Fakultät, … - 2014
electronic trading in the foreign currencies exchange markets in the conditions of the discrete information absorption processes … currencies exchange rates dynamics in the short and long time periods. We consider the financial analysis methods, including the … exchange rates dynamics in the short and long time periods. We discuss the application of the Stratanovich …
Persistent link: https://www.econbiz.de/10011156962
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On the winning virtuous strategies for ultra high frequency electronic trading in foreign currencies exchange markets
Ledenyov, Dimitri O.; Ledenyov, Viktor O. - Volkswirtschaftliche Fakultät, … - 2014
electronic trading in the foreign currencies exchange markets in the conditions of the discrete information absorption processes … currencies exchange rates dynamics in the short and long time periods. We consider the financial analysis methods, including the … exchange rates dynamics in the short and long time periods. We discuss the application of the Stratanovich …
Persistent link: https://www.econbiz.de/10011110289
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The Relationship between Exchange Rates and Islamic Indices in Malaysia FTSE Market: A Wavelet Based Approach
Ayub, Aishaton; Masih, Mansur - Volkswirtschaftliche Fakultät, … - 2013
The issue of relationship between exchange rate and stock market is still not conclusive even though many studies have been done and the results are mixed. There is no theoretical consensus on the relationship between stock prices and exchange rates. Thus, this paper aims to examine the...
Persistent link: https://www.econbiz.de/10011114551
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Central banks and asset prices: the role of the interest rate in volatility correction in the Romanian case
Albulescu, Claudiu Tiberiu - Volkswirtschaftliche Fakultät, … - 2008
The speculative bubbles of asset prices, and especially their burst out, have a negative impact on the financial stability and also on the prices stability – the main objectives of central banks. As a consequence, a more attentive observation of the evolution of these prices is necessary. In...
Persistent link: https://www.econbiz.de/10005078651
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Pengaruh Jangka Pendek dan Jangka Panjang Perubahan Suku Bunga dan Kurs Rupiah Terhadap Harga Saham : Studi Empiris di Indonesia (2000:1 – 2010:4)
Maryatmo, Rogatianus - Volkswirtschaftliche Fakultät, … - 2010
The present study investigates the role of exchange rate and interest rate in stock price discovery in Indonesia. Indonesia is experiencing a kind of bubble which is indicated by surplus of current account accompanied by high capital inflow. Capital inflow simustaneusly influences exchange rate,...
Persistent link: https://www.econbiz.de/10008685166
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Risk-adjusted pricing of bank’s assets based on cash flow matching matrix
Voloshyn, Ihor; Voloshyn, Mykyta - Volkswirtschaftliche Fakultät, … - 2013
To price bank’s assets correctly, it is important to know cost of funds. But funding cost calculation is complicated due to the fact that banks fund long term assets through short-term liabilities. As a result, assets with a given time to maturity are usually financed by several liabilities...
Persistent link: https://www.econbiz.de/10011145372
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Integrated risk management in a commercial market-maker bank using the 'cash flow at risk' approach
Voloshyn, Ihor; Voloshyn, Mykyta - Volkswirtschaftliche Fakultät, … - 2013
In this article, on the basis of the "cash flow at risk" approach, the system of the integrated (credit, market, operational and liquidity risks) risk management in a market-maker commercial bank is developed. This system guarantees reaching profitability, liquidity and coverage of banking risks...
Persistent link: https://www.econbiz.de/10011130320
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A detailed analysis of fulfilling and delinquency of payments on loan
Voloshyn, Ihor - Volkswirtschaftliche Fakultät, … - 2014
A new model for predicting the future expected cash flows from a loan is developed. It is based on a detailed analysis of the events of fulfilling, delinquency and default of each individual payment on the loan. The proposed model has significantly less uncertainty compared with the Markov chain...
Persistent link: https://www.econbiz.de/10011111290
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Interest rate paradox
Ivanov, Sergei - Volkswirtschaftliche Fakultät, … - 2013
Maximization of result from operations with securities is not always ultimate goal of participants. For example, result can be exchanged into different currencies. There can be different utility functions that transform result into some asset. Different risk-neutral probability densities could...
Persistent link: https://www.econbiz.de/10011258552