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摘要: The paper aims to analyse the impact of the COVID outbreak on the currency market. The study considers spot rates of seven major currencies (i.e., EUR/USD, USD/JPY, GBP/USD, AUD/USD, USD/CAD, USD/CHF, and CHF/JPY). To capture the impact of the outbreak on returns and the volatility of returns of seven currencies during pandemic, the study has segregated in two window periods (i.e., pre- [1st Jan 2019 to 31st Dec, 2019] and post-outbreak of COVID-19 [1st Jan, 2020 to 22nd Dec, 2020]). The study h关键词: COVID-19;Currency Exchange;Forex Market;Investor;Liquidity;Pandemic Crisis;Spot Rate;Trend Analysis
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Book Chapter
摘要: The official interventions undertaken by monetary authorities in the foreign exchange markets are largely aimed at minimizing the volatility of exchange rates. However, these interventions as documented in literature are more of the type of ‘secret interventions’ which are likely to create ambiguity in the market and trigger volatility. We examine this issue using monthly data from a sample of nine countries for the period 1997:01 to 2019:12. The empirical evidence obtained from GARCH estimates 关键词: Forex market;Forex volatility;Official intervention;Panel GARCH;C33;F31
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Journal
摘要: Nowadays artificial intelligence is used in almost every sector of our day-to-day life. AI is used in preventative maintenance, quality control, demand forecasting, rapid prototyping, and inventory management among other places. Also, its use in the economic market has gained widespread. The use of artificial intelligence has made a huge contribution to price forecasting in the currency market or the stock market. This research work explores and analyzes the use of machine learning techniques as关键词: Artificial Intelligence;Foreign Exchange Rate;EUR/USD;Forex Market;Machine Learning;Linear Regression.
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Journal
摘要: Traders who instantly react to changes in the financial market and place orders in milliseconds are called high-frequency traders (HFTs). HFTs have recently become more prevalent and attracting attention in the study of market microstructures. In this study, we used data to track the order history of individual HFTs in the USD/JPY forex market to reveal how individual HFTs interact with the order book and what strategies they use to place their limit orders. Specifically, we introduced an 8-dime关键词: high-frequency trader;multivariate Hawkes process;econophysics;forex market
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Journal
摘要: Foreign exchange (Forex) market is the biggest currency exchange market in the world. Existing trading systems in Forex markets based on technical analysis use crisp technical indicators to provide Buy/Sell signals to the trader, only when the indicator value crosses a given threshold level. This strict and noise-sensitive condition can be replaced through uncertainty handling of indicators using fuzzy numbers to generate Buy/Sell signals with fuzzy memberships functions. To achieve this purpose关键词: Forex market;Trend classification;Technical analysis;Ensemble learning;Fuzzy logic;NSGA-II
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Journal
摘要: Foreign exchange rate, inflation rate and bank rate are important macro-economic factors that determine the growth of the Indian economy. The main purpose of this study is to analyse the effect of two important macro-economic factors viz - bank rate and inflation rate on fluctuating foreign exchange rate. This study is based on secondary data and the time period from 2009-2010 to 2017-2018 is considered for this study. Bivariate correlation and regression model are used to investigate and analys关键词: US DOLLAR/INR;bank rate;inflation rate;correlation;regression analysis;forex market;India.
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Journal
Research Article
Hernandez Aguila Amaury;Garcia Valdez Mario;Merelo Guervos Juan Julian;Castanon Puga Manuel;Lopez Oscar Castillo;
IEEE ACCESSVolume 9, Issue , 2021, PP 69391-69404
摘要: This paper presents a method for creating Forex market predictive models using multi-agent and fuzzy systems, which have the objective of simulating the interactions that provoke changes in the price. Agents in the system represent traders performing buy and sell orders in a market, and fuzzy systems are used to model the rules followed by traders performing trades in a live market and intuitionistic fuzzy logic to model their decisions' indeterminacy. We use functions to restrict the agents' de关键词: Fuzzy sets; Fuzzy logic; Predictive models; Fuzzy systems; Hidden Markov models; Biological system modeling; Shape; Economic forecasting; fuzzy systems; multi-agent system; forex market
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Journal
摘要: This study constructs time series model, artificial neural networks (ANNs) and statistical topologies to examine the volatility and forecast foreign exchange rates. The Mauritian forex market has been utilized as a case study, and daily data for nominal spot rate (during a time period of five years spanning from 2014 to 2018) for EUR/MUR, GBP/MUR, CAD/MUR and AUD/MUR have been applied for the predictions.,Autoregressive integrated moving average (ARIMA) and generalized autoregressive conditional关键词: Forex market;Time series model;Artificial intelligence;ARIMA;GARCH;ANN;NARX;KPCA–SVR
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Journal
摘要: ABSTRACT(#br)The paper investigates the bullish and the bearish engulfing patterns in the forex spot market. We scanned over 112,792 in-sample daily candles and 148,992 out-of-sample four-hour candles and used more than three million spot quote observations among 24 currency pairs from 2000 to 2018. The findings are of great interest. First, we document the significance of profitability of technical analysis in the forex market, particularly for the seven majors. This presumably lends support to关键词: Technical analysis; Profitability; Forex market; Market efficiency; Chart patterns
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Journal
摘要: A new monetary theory is set out to resolve the “uncovered interest parity (UIP)” puzzle. It explores the possibility that liquidity properties of money and nominal bonds can account for the puzzle. A key concept in our model is that nominal bonds carry liquidity premia . We show that the UIP can fail to hold under the economic environment where collateral pledgeability and/or liquidity of nominal bonds and/or collateralized credit‐based transactions are relatively bigger. Our liquidity‐based th关键词: E4; E31; E52; F31; Uncovered interest parity puzzle; Monetary search models; FOREX market
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Journal
Research Article
摘要: Financial markets give a large number of trading opportunities. However, over-complicated systems make it very difficult to be effectively used by decision-makers. Volatility and noise present in the markets evoke a need to simplify the market picture derived for the decision-makers. Symbolic representation fits in this concept and greatly reduces data complexity. However, at the same time, some information from the market is lost. Our motivation is to answer the question: What is the impact of 关键词: Forex market; Permutation entropy; Symbolic analysis; Symbolic data
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Journal
摘要: Abstract(#br)We employ multifractal detrended fluctuation analysis (MF-DFA) to provide a first look at the efficiency of forex markets during the initial period of the ongoing coronavirus disease 2019 (COVID-19), which has disrupted the global financial markets. We use high-frequency (5-min interval) data of six major currencies traded in forex markets during the period October 1, 2019 to 31 March 31, 2020. Before applying MF-DFA, we examine the inner dynamics of multifractality through seasonal关键词: COVID-19 pandemic; Forex market; MF-DFA; High frequency; Efficiency
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Journal
Research Article
摘要: We examine 112,792 daily candles using more than one million spot quotes among 24 currency pairs between 2000 and 2018. We find that chart patterns are profitable. Relying on these visually based patterns achieves returns of more than 600% after accounting for the transaction costs. Nevertheless, the transaction costs are substantial. In particular, the spread is a large burden on profitability. Overall, our evidence suggests that technical analysis could generate excess returns and that the pro关键词: technical analysis;profitability;forex market;market efficiency;chart patterns;F31;G14
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Journal
大和田 直希;鈴木 智也;
人工知能学会全国大会論文集Volume JSAI2020, Issue 0, 2020, PP 2L4GS1305-2L4GS1305
关键词: 機械学習;板情報;外国為替市場
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Journal
摘要: Today's business world is growing rapidly at a faster pace. After the emergence of globalization the business market is become global and the business transactions have become more complicated. Numerous traders, different countries, varied currencies, unique products, innovations etc. have become a vital source for the emergence of foreign exchange market to be more popular in the recent trends. The ICT Information, Communication and Technology Revolution has motivated a wide number of traders a关键词: International trade; Exposure; Foreign currencies; Globalization; Forex market; Exchange rate
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Journal
摘要: We analyze total, asymmetric and frequency connectedness between oil and forex markets using high-frequency, intra-day data over the period 2007-2017. By employing variance decompositions and their spectral representation in combination with realized semivariances to account for asymmetric and frequency connectedness, we obtain interesting results. We show that divergence in monetary policy regimes affects forex volatility spillovers but that adding oil to a forex portfolio decreases the total c关键词: Crude oil;Forex market;Volatility;Connectedness;Spillovers;Semivariance;Asymmetric effects;Frequency connectedness
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Journal
Research Article
摘要: This study is one of the first to utilize the stochastic volatility (SV) model to modelling the Peruvian financial times series. We estimate and compare this model with generalized autoregressive conditional heteroscedasticity (GARCH) models with normal and t-student errors. The analysis in this study corresponds to Peru’s stock market and exchange rate returns. The importance of this methodology is that the adjustment of the data is better than the GARCH models, using the assumptions of normali关键词: Stochastic volatility model; Bayesian estimation; Gibbs sampler; Mixture sampler; Integration; Stock market; Forex market; GARCH models; Peru
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Journal
摘要: In this paper, the evolutionary algorithm for the optimization of Forex market trading strategies is proposed. The introduction to issues related to the financial markets and the evolutionary algorithms precedes the main part of the paper, in which the proposed trading system is presented. The system uses the evolutionary algorithm for optimization of a parameterized greedy strategy, which is then used as an investment strategy on the Forex market. In the proposed system, a model of the Forex ma关键词: Evolutionary algorithms; Forex market; Stock market; Efficient market hypothesis; Sustainable development; Optimization; Trading strategies; Forecasting; Prediction
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Journal
摘要: Abstract(#br)We show how bad and good volatility propagate through the forex market, i.e., we provide evidence for asymmetric volatility connectedness on the forex market. Using high-frequency, intra-day data of the most actively traded currencies over 2007–2015 we document the dominating asymmetries in spillovers that are due to bad, rather than good, volatility. We also show that negative spillovers are chiefly tied to the dragging sovereign debt crisis in Europe while positive spillovers are 关键词: volatility; connectedness; spillovers; semivariance; asymmetric effects; forex market
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Journal
摘要: This paper examines the relationship between investments by foreign institutional investors (FIIs) and financial markets in India. By using a bivariate asymmetric BEKK-GARCH (1, 1) model, we find that FII investments are largely driven by profit opportunities available in financial markets. Granger causality-in-mean test results also validate these findings. Estimates from variance equation and Granger causality-in-variance tests provide the evidence of volatility spillover from FII investments 关键词: foreign institutional investment; multivariate GARCH; volatility spillover; Granger causality-in-variance; financial market; forex market; India.
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Journal
摘要: The present studyinvestigates the efficiency of the forex market based on the theory of theEfficient Market Hypothesis in Mauritius, a well-diversified and emergingeconomy in the African region. Hence, this study considers the case ofMauritian forex market nominal spot rate daily data namely EUR/MUR, USD/ MUR,GBP/ MUR and JPY/ MUR over a time period of 5 years ranging from 2012 to 2016.The technique used for analysis is firstly concentrated on the use of Augmented-DickeyFuller (ADF) and Philips 关键词: Efficient Market Hypothesis;Forex Market;Stock Exchange of Mauritius;Emerging Markets
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Journal
摘要: This paper puts forward an analysis of the new trends in terms of foreign currency transactions and, implicitly, the new financial products traded on the Forex market with a view to identify the category they belong to, namely foreign currency transactions or foreign exchange derivative transactions. Also, the implications of including the new products traded on the Forex market into one of the two categories have been taken into account, both in terms of market microstructure and in terms of in关键词: Currency pairs; Rolling spot Forex; Forex market; CFD
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Journal
摘要: AbstractIn this paper we examine the intraday effects of surprises from scheduled macroeconomic announcements and unscheduled event news on six major exchange rate excess returns (jumps) using a Tobit model with conditionally heteroskedastic errors that we extend so as to account for asymmetries. Besides this novel model, our approach embodies several important features: we perform Lee and Mykland"s (2012) non-parametric test procedure to filter out microstructure noise from observed exchange ra关键词: Forex market; Announcements; Jump detection test; High frequency data; Microstructure noise; Asymmetric GARCH
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Journal
摘要: This study examines the presence of possible weak form of market efficiency,non-linearity and chaotic behaviour in the foreign exchange markets of Brazil, Russia,India, China and South Africa(commonly known together as BRICS) using various tests.Monthly Nominal Effective Exchange Rate (NEER) data for the said countries, rangingfrom April 1994 to September 2014 were examined. The analysis was carried out usingvariance ratio (VR) tests, BDS test, Hinich Bispectrum test, Teräsvirta Neural Network t关键词: Forex Market; BRICS; India; Chaos; Efficiency
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Journal
Research Article
摘要: Understanding the patterns of volatility in financial assets is immensely useful in portfolio management process. They are the critical inputs for portfolio selection, asset allocation, asset pricing, portfolio diversification and risk management. This study examines the phenomenon of volatility clustering and leverage effect in exchange rates of four major currencies, namely, US dollar (USD), euro, Japanese yen and pound sterling vis-à-vis Indian rupee (INR) from the vantage point of view of vo关键词: Forex market; leverage effect; stochastic models; volatility clustering
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Journal
摘要: Abstract(#br)Risk dimensioning represents a large desideratum for investors in the financial markets. As a research element in the financial market, the risk represents a countable certainty due to the technical analysis instruments. In the paper, we came with elements more specific to technical analysis, presenting in the first chapter different theoretical approaches about the technical analysis as well as the role occupied in risk prevention. All the same, based on real data extracted from tw关键词: technical analysis; FOREX market; risk analysis; gain; loss.
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Journal
摘要: Highlights•We introduce a novel stochastic volatility model for pricing FX derivatives.•The new model is consistent with stylized facts (smiles, skews, symmetries) of the FX market.•The model works even without the existence of a risk neutral probability measure.•A calibration on real data shows the typical failure of the Risk Neutral Pricing in the FX Market.•The paper represents the first empirical example of failure of the risk neutral methodology.;AbstractThis paper considers the realistic m关键词: Forex market; Smile and skew of vanilla options; 3/2 Stochastic volatility model; Strict local martingale; Model calibration; Benchmark approach
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Journal
摘要: Abstract(#br)Keynes (1930) and Samuelson (1965) proposals open the possibility of matching predictability and efficiency, as evidenced by the seminal study by Fisher (1930). Recent findings suggest that the foreign exchange market gradually incorporates relevant information allowing the formation of prices in a rational manner but not randomly. Models of exchange rate by term based on asset valuation suggest that the inclusion of risk in the spot rate increases the degree of predictability. The 关键词: exchange rate forecast; forex market; asset valuation; risk premium; pronóstico del tipo de cambio; mercado de divisas; valuación de activos; prima de riesgo
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Journal
摘要: With the introduction of liberalization of the Indian economy(in the year 1991) and many other economies, the matter of survival of economies in isolation is out of question and could prove to be a suicidal thought. Now, with increased industrialization and opening up of economies for trade and commerce, political boundaries of nations have been transgressed by businesses1. However, this opportunity of making money abroad may also bring some inconvenience to the parent company as it m关键词: Forex market; Foreign Exchange Management and Risk; Fluctuation of currency value; Risk and Risk mitigation; Econometric model; Multivariate data analysis technique; Currency pairs (majors); Secondary dataset; Econometrics; Political economy; India
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Journal
摘要: The Foreign Exchange Market or Currency Market is a global, worldwide decentralized over the counter financial market for trading currencies. Financial centers around the world function as anchors of trading between a wide range of different types of buyers and sellers around the clock, with the exception of weekend. The Foreign Exchange Market determines the relative value of different currencies. The primary purpose of the foreign exchange is to assist international trade and investment, by al关键词: Foreign Exchange; Forex Market; Financial Instruments; Foreign Trade
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