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Evolving efficient limit order strategy using grammatical evolution
Cui, Wei; Brabazon, Anthony; O'Neill, Michael - 2010
Trade execution is concerned with the actual mechanics of buying or selling the desired amount of a financial … instrument of interest. A practical problem in trade execution is how to trade a large order as efficiently as possible. A trade … execution strategy is designed for this task to minimize total trade cost. Grammatical Evolution (GE) is an evolutionary …
Persistent link: https://www.econbiz.de/10009475638
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Exchange Rate Risk Measurement and Management; Issues and Approaches for Firms
Papaioannou, Michael G. - International Monetary Fund (IMF) - 2006
Measuring and managing exchange rate risk exposure is important for reducing a firm's vulnerabilities from major exchange rate movements, which could adversely affect profit margins and the value of assets. This paper reviews the traditional types of exchange rate risk faced by firms, namely...
Persistent link: https://www.econbiz.de/10005825991
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Macro-Hedging for Commodity Exporters
Borensztein, Eduardo; Sandri, Damiano; Jeanne, Olivier - International Monetary Fund (IMF) - 2009
This paper uses a dynamic optimization model to estimate the welfare gains of hedging against commodity price risk for commodity-exporting countries. The introduction of hedging instruments such as futures and options enhances domestic welfare through two channels. First, by reducing export...
Persistent link: https://www.econbiz.de/10008540918
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Financial Stability in Dollarized Economies
Gulde, Anne Marie; Hoelscher, David S.; Ize, Alain; … - International Monetary Fund (IMF) - 2004
This paper addresses the challenges to prudential supervision in highly dollarized economies, where central banks and supervisors may be constrained in the use of standard money and financial policy tools. The study’s conclusions are the basis of an ongoing policy dialogue with IMF member...
Persistent link: https://www.econbiz.de/10005824860
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Investors’ Risk Appetite and Global Financial Market Conditions
González-Hermosillo, Brenda - International Monetary Fund (IMF) - 2008
A structural vector autoregression model is developed to analyze the dynamics of bond spreads among a sample of mature and developing countries during periods of financial stress in the last decade. The model identifies and quantifies the contribution on bond spreads from global market...
Persistent link: https://www.econbiz.de/10005769174
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Dynamic trade execution: a grammatical evolution approach
Cui, Wei; Brabazon, Anthony; O'Neill, Michael - In: International Journal of Financial Markets and Derivatives 2 (2011) 1/2, pp. 4-31
Trade execution is concerned with the actual mechanics of buying or selling the desired amount of a financial … instrument. Investors wishing to execute large orders face a tradeoff between market impact and opportunity cost. Trade execution … the trade execution process, this is difficult to do in practice due to the dynamic nature of markets and due to our …
Persistent link: https://www.econbiz.de/10010670194
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Spain; Oversight and Supervision of Financial Market Infrastructures Technical Note
International Monetary Fund (IMF); International … - 2012
This technical note focuses on financial market infrastructures (FMIs) in Spain. The way Spanish authorities supervise and oversee FMIs is an essential issue in promoting and maintaining domestic financial stability. Although systemically important payments systems are European or international...
Persistent link: https://www.econbiz.de/10011244420
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Italy: Technical Note on Financial Risk Management and Supervision of Cassa Di Compensazione e Garanzia S.P.A.
International Monetary Fund (IMF); International … - 2013
This Technical Note analyzes financial risk management and supervision of Cassa Di Compensazione e Garanzia S.P.A. (CC&G) in Italy. CC&G, the Italian central counterparty (CCP), is systemically important for the Italian market, and through the link with the French CCP, it is also relevant in...
Persistent link: https://www.econbiz.de/10011244603
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Applications of Risk Financing Techniques to Manage Economic Exposurs to Natural Hazards
Andersen, Torben - Inter-American Development Bank - 2005
This study follows an analytical risk management process that begins by identifying the major hazards to which the countries of Latin America and the Caribbean are exposed. It then outlines the risk exposures related to these hazards, evaluates opportunities for risk transfer and presents...
Persistent link: https://www.econbiz.de/10009274465
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The Systemic Regulation of Credit Rating Agencies and Rated Markets
Sy, Amadou N. R. - International Monetary Fund (IMF) - 2009
Credit ratings have contributed to the current financial crisis. Proposals to regulate credit rating agencies focus on micro-prudential issues and aim at reducing conflicts of interest and increasing transparency and competition. In contrast, this paper argues that macro-prudential regulation is...
Persistent link: https://www.econbiz.de/10008528614