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Wave Function Method to Forecast Foreign Currencies Exchange Rates at Ultra High Frequency Electronic Trading in Foreign Currencies Exchange Markets

Ledenyov, Dimitri - 2015

exchange rates dynamics in the foreign currencies exchange markets in the classic finances theory; 3) the description on the … theory; 4) the derivation of the time dependent/time independent wave equation in the quantum finances theory; 5) the …/time independent wave equation in the quantum finances theory; 6) the discussion on the developed software program with the embedded …

Persistent link: https://www.econbiz.de/10013013057

Information Spillovers and Predictable Currency Returns : An Analysis via Machine Learning

Jia, Yuecheng - 2020

This paper employs the post — Least Absolute Shrinkage and Selection Operator (post — LASSO) to make rolling 1-month--ahead currency excess return forecasts using all other currencies' lagged forward discounts as candidate predictors. The trading strategy of buying (selling) quintile...

Persistent link: https://www.econbiz.de/10012850361

Can Technical Trading Beat the Foreign Exchange Market in times of Crisis?

Yamani, Ehab Abdel-Tawab - 2020

I examine the profitability of three simple foreign exchange technical trading rules (moving average, momentum, and relative strength index) before, during and after the 2007-2008 global financial crisis. The overall findings reveal that these technical indicators could produce statistically...

Persistent link: https://www.econbiz.de/10012851671

Cryptomarket Discounts

Borri, Nicola - 2020

Relative bitcoin prices, across locations and currencies, are persistent over time, with the location component accounting for more than 50 percent of the variability. Their distribution is leptokurtic, with negative skewness for fiat pairs, and a standard deviation of 4.5%. Counter- party...

Persistent link: https://www.econbiz.de/10012852864

Forecast in Capital Markets

Ledenyov, Dimitri - 2016

Persistent link: https://www.econbiz.de/10012987861

Decentralized Stablecoins and Collateral Risk

Kozhan, Roman; Viswanath-Natraj, Ganesh - 2021

In this paper, we study the mechanisms that govern price stability of MakerDAO's DAI token, the first decentralized stablecoin. DAI works through a set of autonomous smart contracts, in which users deposit cryptocurrency collateral, typically Ethereum, and borrow a fraction of their positions as...

Persistent link: https://www.econbiz.de/10013222444

Fast Trading and the Virtue of Entropy : Evidence from the Foreign Exchange Market

Corsetti, Giancarlo; Lafarguette, Romain; Mehl, Arnaud - 2021

Focusing on the foreign exchange reaction to macroeconomic announcements, we show that fast trading is positively and significantly correlated with the entropy of the distribution of quoted prices in reaction to news: a larger share of fast trading increases the degree of diversity of quotes in...

Persistent link: https://www.econbiz.de/10013315358

Heterogeneous Expectations and Tests of Efficiency in the Yen/Dollar Forward Exchange Rate Market

Elliott, Graham; Ito, Takatoshi - 1998

This paper examines the efficiency of the forward yen/dollar market using micro survey data. Conventional tests of unbiasedness do not correspond directly to the zero-profit condition. Instead, we use the survey data to calculate potential profits of individual forecasters based on a natural...

Persistent link: https://www.econbiz.de/10014222188

Foreign Exchange Intervention Rules for Central Banks : A Risk-Based Framework

Lafarguette, Romain; Veyrune, Romain - 2021

This paper presents a rule for foreign exchange interventions (FXI), designed to preserve financial stability in floating exchange rate arrangements. The FXI rule addresses a market failure: the absence of hedging solution for tail exchange rate risk in the market (i.e. high volatility). Market...

Persistent link: https://www.econbiz.de/10013243054

Risk Sharing Markets and International Trade – A Comment

Lehrbass, Frank - 2014

We consider an exporting firm facing FX risk. We show that FX options are not used for hedging, if there is no ex-post production flexibility. Hence, in the standard setting of having no ex-post optionality, hedging with forwards is the best choice.The value of FX options for hedging arises as...

Persistent link: https://www.econbiz.de/10013060727