The microscopic relationships between triangular arbitrage and cross-currency correlations in a simple agent based model of foreign exchange markets [PDF]
PLoS One, 2020 Foreign exchange rates movements exhibit significant cross-correlations even on very short time-scales. The effect of these statistical relationships become evident during extreme market events, such as flash crashes.In this scenario, an abrupt price swing occurring on a given market is immediately followed by anomalous movements in several related ...
Ciacci A +4 more
arxiv +2 more sources
Market Efficiency in Foreign Exchange Markets [PDF]
, 2006 We investigate the relative market efficiency in financial market data, using the approximate entropy(ApEn) method for a quantification of randomness in time series. We used the global foreign exchange market indices for 17 countries during two periods from 1984 to 1998 and from 1999 to 2004 in order to study the efficiency of various foreign exchange ...
Barkoulas +18 more
arxiv +4 more sources
On the efficiency of foreign exchange markets in times of the COVID-19 pandemic. [PDF]
Technol Forecast Soc Change, 2020 Aslam F +4 more
europepmc +2 more sources
Triangular arbitrage as an interaction among foreign exchange rates [PDF]
, 2002 We first show that there are in fact triangular arbitrage opportunities in the spot foreign exchange markets, analyzing the time dependence of the yen-dollar rate, the dollar-euro rate and the yen-euro rate. Next, we propose a model of foreign exchange rates with an interaction.
Bollerslev +10 more
arxiv +3 more sources
High-Frequency Data and Volatility in Foreign-Exchange Rates [PDF]
, 1996 Exchange rates, like many other financial time series, display substantial heteroscedasticity. This poses obstacles in detecting trends and changes. Understanding volatility becomes extremely important in studying financial time series.
Bin Zhou
openalex +2 more sources
Indeterminacy in foreign exchange markets [PDF]
, 2000 We discuss price variations distributions in foreign exchange markets, characterizing them both in calendar and business time frameworks. The price dynamics is found to be the result of two distinct processes, a multi-variance diffusion and an error ...
Michele Pasquini, Maurizio Serva
openalex +3 more sources
Corpus-based Development of Syntactic Complexity in EFL Writing [PDF]
SHS Web of Conferences, 2023 Syntactic complexity has long been taken as a significant factor in determining writing quality by EFL learners. And researchers in recent years have made a lot of efforts to devise and verify a wide range of factors or indicators for the purpose of ...
Wang Weilu, Duan Manfu, Zhang Hongmei
doaj +1 more source
Analysis on the Impact of the Foreign Exchange Reserves of China on Its Macro Economy [PDF]
E3S Web of Conferences, 2021 China has the largest foreign exchange reserve in the world, but the high foreign exchange reserve is a double-edged sword for the country. There are two kinds of analysis for this.
Zhang Jiahao
doaj +1 more source
Determinants of foreign exchange reserves and the optimal level of foreign exchange reserves in Bosnia and Herzegovina [PDF]
Bankarstvo, 2023 The research answered the question of what affects BH foreign exchange reserves and what is the lower limit of the optimal level of foreign exchange reserves of the Central Bank of Bosnia and Herzegovina (CBBH).
Jović Dragan
doaj +1 more source
Financial Innovation, 2021 This study examines the portfolio diversification benefits of alternative currency trading in Bitcoin and foreign exchange markets. The following methods are applied for the analysis: the spillover index method of Diebold and Yilmaz (Int J Forecast 28(1):
Muhammad Owais Qarni, Saiqb Gulzar
semanticscholar +1 more source