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Gold, currencies and market efficiency  [PDF]
Ladislav Kristoufek,Miloslav Vosvrda
Quantitative Finance , 2015,
Abstract: Gold and currency markets form a unique pair with specific interactions and dynamics. We focus on the efficiency ranking of gold markets with respect to the currency of purchase. By utilizing the Efficiency Index (EI) based on fractal dimension, approximate entropy and long-term memory on a wide portfolio of 142 gold price series for different currencies, we construct the efficiency ranking based on the extended EI methodology we provide. Rather unexpected results are uncovered as the gold prices in major currencies lay among the least efficient ones whereas very minor currencies are among the most efficient ones. We argue that such counterintuitive results can be partly attributed to a unique period of examination (2011-2014) characteristic by quantitative easing and rather unorthodox monetary policies together with the investigated illegal collusion of major foreign exchange market participants, as well as some other factors discussed in some detail.
Classical technical analysis of Latin American market indices: correlations in Latin American currencies (ARS, CLP, MXP) exchange rates with respect to DEM, GBP, JPY and USD
Ausloos, M.;Ivanova, K.;
Brazilian Journal of Physics , 2004, DOI: 10.1590/S0103-97332004000300029
Abstract: the classical technical analysis methods of financial time series based on the moving average and momentum is recalled. illustrations use the ibm share price and latin american (argentinian merval, brazilian bovespa and mexican ipc) market indices. we have also searched for scaling ranges and exponents in exchange rates between latin american currencies (ars, clp, mxp) and other major currencies dem, gbp, jpy , usd, and sdrs. we have sorted out correlations and anticorrelations of such exchange rates with respect to dem, gbp, jpy and usd. they indicate a very complex or speculative behavior.
Classical technical analysis of Latin American market indices. Correlations in Latin American currencies (ARS, CLP, MXP) exchange rates with respect to DEM, GBP, JPY and USD  [PDF]
M. Ausloos,K. Ivanova
Physics , 2003, DOI: 10.1590/S0103-97332004000300029
Abstract: The classical technical analysis methods of financial time series based on the moving average and momentum is recalled. Illustrations use the IBM share price and Latin American (Argentinian MerVal, Brazilian Bovespa and Mexican IPC) market indices. We have also searched for scaling ranges and exponents in exchange rates between Latin American currencies ($ARS$, $CLP$, $MXP$) and other major currencies $DEM$, $GBP$, $JPY$, $USD$, and $SDR$s. We have sorted out correlations and anticorrelations of such exchange rates with respect to $DEM$, $GBP$, $JPY$ and $USD$. They indicate a very complex or speculative behavior.
Effect of Interest, Moving Average, and Historical Volatility in Forecasting Exchange Prices of Major International Currencies  [cached]
Marwan Mohammad Abu Orabi,Abdul Aziz F. AA. Saymeh
International Journal of Economics and Finance , 2012, DOI: 10.5539/ijef.v4n5p246
Abstract: Forecasting foreign exchange prices drives the concerns of financial investors and occupies the minds of financial analysts as well. Most Current forecasting formulas used to employ individual financial factors, either fundamental or technical. The purpose of this study is to test the effect of combined financial factors in forecasting future exchange prices of world currencies. This study used one fundamental factor and two technical factors merged in one mathematical formula. Researchers have merged interest rate, historical volatility, and moving average in one formula. Empirical tests included correlation, Covariance tests to measure the magnitude of the linear relation between historical and computed exchange rates; F.Test aimed to show whether the two sets of historical and computed data have the same standard deviation at the specified confidence levels. Data included historical and computed sets of exchange prices of Swiss Franc, Sterling Pound, European Euro, and Japanese Yen against U.S.Dollar.Study period extended for ten years, i.e. 2000-2008.Results reflected high correlation and low covariance and accepted F.test; there were some biases due to extraneous factors which had affected the exchange rates for certain times during the testing period.
The Jump Dynamics of the Industry-Specific Nominal Effective Exchange Rate of RMB and the Impact of Major International Currencies on It—An Empirical Study Based on the ARJI Model  [PDF]
Yuqi Wang
Journal of Financial Risk Management (JFRM) , 2018, DOI: 10.4236/jfrm.2018.71005
Abstract: In this paper, the Autoregressive Jump Intensity (ARJI) model with time-varying jumps is used to measure the daily exchange rate volatility and jump intensity of 13 Chinese manufacturing segments from January 1, 2001 to June 30, 2017. The statistical characteristics are analyzed and compared. We further explore the impact of international major payment currencies’ volatility on the industry-specific nominal effective exchange rate (INEER) risks for various industries in China. First, the results show that there are certain differences in exchange rate fluctuation and jump dynamics between different industries. The exchange rate volatility and jump intensity for paper, non-metal and metal industries are small, while for petroleum, rubber, electrical machinery and other industries are larger. Second, the U.S. dollar, German mark and Japanese yen have significantly different effects on exchange rate fluctuations and jump risks in various industries, and the degree of impact is weakened in turn. Finally, the analysis of the sub-sample shows that after the financial crisis, the impact of dollar and yen on the fluctuations of INEER for most industries has declined significantly, and the impact of mark has generally increased.
Exchange Rate Risk in the Foreign Exchange Market: A Challenge on Corporate Profitability  [PDF]
P. Sivarajadhanavel
Bonfring International Journal of Industrial Engineering and Management Science , 2012, DOI: 10.9756/bijiems.1403
Abstract: Foreign exchange market is the largest traded market across the globe. In India, foreign exchange market opened for trade during the decade of 1970's and most of the transaction done through banks. Many companies in India emerged as a global player during this period, but they need to face the exchange rate risk of volatility in the global trade as the exchange rate against US dollar has raised five folds during this period. Importantly the risk exposure of Indian companies to its foreign trade has also increased dramatically. Conceptually the foreign exchange market faces risks of transaction exposure, translation exposure, and operating exposure which seems to be part of the exchange rate determination system. The hedging measures to be part of the risk management practices in the foreign exchange system across the global market. The exchange currency of US dollar is taken in the account of the foreign exchange market and its impact corporate profitability is being discussed with reference to information technology major Infosys. As exchange rate has challenged Indian corporate at many periods of interval, due to volatile movement of exchange rate directly impact on the corporate profitability. Infosys risk hedging being analyzed to know how it manages the exchange risk volatility and impact on corporate profitability is studied reference to information technology (IT) industry. The historical picture of the exchange rate of INR against major currencies like US dollar, Euro, Pound sterling, and Yen, surprised many corporate as it had direct impact on the corporate profit. This paper brings out the problem of exchange rate risk and its effect on corporate profitability on IT industry.
Uncovering the network structure of the world currency market: Cross-correlations in the fluctuations of daily exchange rates  [PDF]
Sitabhra Sinha,Uday Kovur
Quantitative Finance , 2013,
Abstract: The cross-correlations between the exchange rate fluctuations of 74 currencies over the period 1995-2012 are analyzed in this paper. The eigenvalue distribution of the cross-correlation matrix exhibits a bulk which approximately matches the bounds predicted from random matrices constructed using mutually uncorrelated time-series. However, a few large eigenvalues deviating from the bulk contain important information about the global market mode as well as important clusters of strongly interacting currencies.We reconstruct the network structure of the world currency market by using two different graph representation techniques, after filtering out the effects of global or market-wide signals on the one hand and random effects on the other. The two networks reveal complementary insights about the major motive forces of the global economy, including the identification of a group of potentially fast growing economies whose development trajectory may affect the global economy in the future as profoundly as the rise of India and China has affected it in the past decades.
Recurrence plots of exchange rates of currencies  [PDF]
Amelia Carolina Sparavigna
Quantitative Finance , 2014, DOI: 10.18483/ijSci.545
Abstract: Used to investigate the presence of distinctive recurrent behaviours in natural processes, the recurrence plots can be applied to the analysis of economic data, and, in particular, to the characterization of exchange rates of currencies too. In this paper, we will show that these plots are able to characterize the periods of oscillation and random walk of currencies and enhance their reply to news and events, by means of texture transitions. The examples of recurrence plots given here are obtained from time series of exchange rates of Euro.
Correlation Networks Among Currencies  [PDF]
Takayuki Mizuno,Hideki Takayasu,Misako Takayasu
Physics , 2005, DOI: 10.1016/j.physa.2005.08.079
Abstract: By analyzing the foreign exchange market data of various currencies, we derive a hierarchical taxonomy of currencies constructing minimal-spanning trees. Clustered structure of the currencies and the key currency in each cluster are found. The clusters match nicely with the geographical regions of corresponding countries in the world such as Asia or East Europe, the key currencies are generally given by major economic countries as expected.
Detecting a Currency's Dominance or Dependence using Foreign Exchange Network Trees  [PDF]
Mark McDonald,Omer Suleman,Stacy Williams,Sam Howison,Neil F. Johnson
Physics , 2004, DOI: 10.1103/PhysRevE.72.046106
Abstract: In a system containing a large number of interacting stochastic processes, there will typically be many non-zero correlation coefficients. This makes it difficult to either visualize the system's inter-dependencies, or identify its dominant elements. Such a situation arises in Foreign Exchange (FX) which is the world's biggest market. Here we develop a network analysis of these correlations using Minimum Spanning Trees (MSTs). We show that not only do the MSTs provide a meaningful representation of the global FX dynamics, but they also enable one to determine momentarily dominant and dependent currencies. We find that information about a country's geographical ties emerges from the raw exchange-rate data. Most importantly from a trading perspective, we discuss how to infer which currencies are `in play' during a particular period of time.
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