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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 … macroeconomic analysis, market microstructure analysis and order flow analysis, to forecast the volatility in the foreign currencies …
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 … macroeconomic analysis, market microstructure analysis and order flow analysis, to forecast the volatility in the foreign currencies …
Persistent link: https://www.econbiz.de/10011110289
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The determinants of commodity prices
Reinhart, Carmen; Borensztein, Eduardo - Volkswirtschaftliche Fakultät, … - 1994
The "traditional structural approach" to the determination of real commodity prices has relied exclusively on demand factors as the fundamentals that explain the behavior of commodity prices. This framework, however, has been unable to explain the marked and sustained weakness in commodity...
Persistent link: https://www.econbiz.de/10005836714
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Liquidity, volume and dividend yields in stock return data: Evidence from London Stock Exchange
Vasilakis, Chrysovalantis; Samitas, Aristeidis - Volkswirtschaftliche Fakultät, … - 2009
This paper investigates monthly liquidity in FTSE 100 equity index in London Stock Exchange over the period 1986 to 2005. The relationship between excess returns, order flow, dividend yields and earning-price ratio was examined using GARCH(1,1). The variables found insignificant, but the...
Persistent link: https://www.econbiz.de/10008924817
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Exchange rate in transition
Kocenda, Evzen - Volkswirtschaftliche Fakultät, … - 1998
In this book several econometrics techniques are used to perform quantitative research of the exchange rate in …
Persistent link: https://www.econbiz.de/10009151616
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The 1997-98 financial crisis in Malaysia: causes, response, and results – A Rejoinder
Hasan, Zubair - Volkswirtschaftliche Fakultät, … - 2003
This rejoinder refutes the comments of Mohamed Ariff and Faiz Mohammad on the author’s article: The 1997-98 Financial Crisis in Malaysia: Causes, Response, and Results”, published in the Islamic Economic Studies, Vol. 9 No. 2, 2002. My basic difference with the reviewers is this: they...
Persistent link: https://www.econbiz.de/10005619479
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Of Low Yielders and Carry Trading – the JPY and CHF as Market Risk Sentiment Gauges
Vistesen, Claus - Volkswirtschaftliche Fakultät, … - 2008
. Within that market context, this paper provides strong evidence for the idea of carry trading currencies as risk sentiment … the credit crisis. Finally, this paper also homes in on the idea of carry trading currencies as means of hedging equity …
Persistent link: https://www.econbiz.de/10005000005
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Nominal Exchange Rates and Net Foreign Assets' Dynamics: the Stabilization Role of Valuation Effects
Eugeni, Sara - Volkswirtschaftliche Fakultät, … - 2015
Recent empirical studies have highlighted that valuation effects associated with fluctuations of nominal exchange rates are one of the key components that drive the behaviour of the net foreign assets position of a country. In this paper, we propose a two-country overlapping-generations model of...
Persistent link: https://www.econbiz.de/10011252596
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Exchange Rate Volatility and Non-Traditional Exports Performance: Zambia, 1965–1999
Musonda, Anthony - Volkswirtschaftliche Fakultät, … - 2008
This study estimated an error correction model of the impact of real effective exchange rate volatility on the performance of non-traditional exports for Zambia between 1965 and 1999. Using a generalized autoregressive conditional heteroscedasticity (GARCH) measure of real exchange rate...
Persistent link: https://www.econbiz.de/10009004209
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Hedging currency risk: Does it have to be so complicated?
Haefliger, Thomas; Waelchli, Urs; Wydler, Daniel - Volkswirtschaftliche Fakultät, … - 2002
over five reference currencies for a period from 1985 to 2000. The advantage of this method is that the results do not …
Persistent link: https://www.econbiz.de/10008693568