DYNAMICAL DECOMPOSITION OF MULTIFRACTAL TIME SERIES AS FRACTAL EVOLUTION AND LONG-TERM CYCLES: APPLICATIONS TO FOREIGN CURRENCY EXCHANGE MARKET

2006 ◽  
Author(s):  
A. TURIEL ◽  
C. PEREZ-VICENTE
Keyword(s):  
Time Series ◽  
Foreign Currency ◽  
Exchange Market ◽  
Currency Exchange

scholarly journals Analysis of a network structure of the foreign currency exchange market

2009 ◽  
Vol 4 (1) ◽  
pp. 55-72 ◽  
Author(s):  
Jarosław Kwapień ◽  
Sylwia Gworek ◽  
Stanisław Drożdż ◽  
Andrzej Górski
Keyword(s):  
Network Structure ◽  
Foreign Currency ◽  
Exchange Market ◽  
Currency Exchange

scholarly journals The relationship between remittances and economic growth in Vietnam in the period of international integration

2015 ◽  
Vol 18 (4) ◽  
pp. 104-112
Author(s):  
Tung Thanh Le
Keyword(s):  
Economic Growth ◽  
Financial Market ◽  
Foreign Currency ◽  
Positive Impact ◽  
Balance Of Payments ◽  
Exchange Market ◽  
Lag Model ◽  
Short And Long Term ◽  
The Relationship

Over nearly three decades, remittances are one of the most important sources of foreign currency in ensuring balance of payments, foreign currency reserves increase, stabilize exchange market and financial market in Vietnam. This paper uses the AutoregressiveDistributed Lag model (ARDL) to study the relationship between remittances and economic growth in Vietnam in 1990-2014. Results of Perasan’ test confirmed the existence of long-term relationship between remittances and economic growth in Vietnam. The results also provide evidence of the positive impact of remittances to economic growth both in the short and long term.

scholarly journals A Dynamical System with Random Parameters as a Mathematical Model of Real Phenomena

Symmetry ◽  
2019 ◽  
Vol 11 (11) ◽  
pp. 1338 ◽  
Author(s):  
Josef Diblík ◽  
Irada Dzhalladova ◽  
Miroslava Růžičková
Keyword(s):  
Markov Chain ◽  
Difference Equations ◽  
Foreign Currency ◽  
Random Structure ◽  
Exchange Market ◽  
Moment Equations ◽  
Random Parameters ◽  
Linear Difference Equations ◽  
Currency Exchange ◽  
The Moment

In many cases, it is difficult to find a solution to a system of difference equations with random structure in a closed form. Thus, a random process, which is the solution to such a system, can be described in another way, for example, by its moments. In this paper, we consider systems of linear difference equations whose coefficients depend on a random Markov or semi-Markov chain with jumps. The moment equations are derived for such a system when the random structure is determined by a Markov chain with jumps. As an example, three processes: Threats to security in cyberspace, radiocarbon dating, and stability of the foreign currency exchange market are modelled by systems of difference equations with random parameters that depend on a semi-Markov or Markov process. The moment equations are used to obtain the conditions under which the processes are stable.

scholarly journals Moment Equations in Modeling a Stable Foreign Currency Exchange Market in Conditions of Uncertainty

2013 ◽  
Vol 2013 ◽  
pp. 1-11 ◽  
Author(s):  
Josef Diblík ◽  
Irada Dzhalladova ◽  
Mária Michalková ◽  
Miroslava Růžičková
Keyword(s):  
Differential Equation ◽  
Mathematical Model ◽  
Markov Process ◽  
Linear Differential Equation ◽  
Foreign Currency ◽  
Exchange Market ◽  
Moment Equations ◽  
Currency Exchange ◽  
Semi Markov Process ◽  
Linear Differential

The paper develops a mathematical model of foreign currency exchange market in the form of a stochastic linear differential equation with coefficients depending on a semi-Markov process. The boundaries of the domain of its instability is determined by using moment equations.

scholarly journals New hybrid fuzzy time series model: Forecasting the foreign exchange market

2020 ◽  
Vol 66 (3) ◽  
pp. 263
Author(s):  
José Eduardo Medina Reyes ◽  
Salvador Cruz Aké ◽  
Agustín Ignacio Cabrera Llanos
Keyword(s):  
Time Series ◽  
Exchange Rate ◽  
Foreign Exchange ◽  
Foreign Exchange Market ◽  
Foreign Currency ◽  
Time Series Data ◽  
Arima Model ◽  
Fuzzy Time Series ◽  
Series Data ◽  
Exchange Market

<span class="fontstyle0">This paper develops the comparison of the volatility prediction of the traditional<br />models (ARIMA, EGARCH, and PARCH), with respect to the Hybrid Fuzzy Time<br />Series and Fuzzy ARIMA Model of Tseng’s and Tanaka’s methodology (FTS-Fuzzy<br />ARIMA Tseng and FTS-Fuzzy ARIMA Tanaka). For this purpose, it applies to the<br />time series of the foreign exchange market to forecast the foreign currency exchange rate of Mexican Pesos against American Dollar, the growth rate of the time series data in a daily format from January 2008 to December 2017, to perform the sample test is used January 2018. The main result is that the models based on fuzzy theory generate a better estimate of the volatility of the foreign exchange rate.</span> <br /><br />

scholarly journals ADVANTAGES AND DISADVANTAGES OF THE LIBERALIZATION OF FOREIGN CURRENCY EXCHANGE ARRANGEMENTS IN UKRAINE

2017 ◽  
pp. 136-146
Author(s):  
Anzhela KUZNIETSOVA ◽  
Nataliia MISIATS
Keyword(s):  
Financial Markets ◽  
Financial Integration ◽  
Foreign Currency ◽  
Capital Inflows ◽  
Institutional Reforms ◽  
Developed Economies ◽  
Advantages And Disadvantages ◽  
Currency Exchange ◽  
Exchange Transactions

Introduction. The high openness level of the Ukrainian economy determines the necessity of join to the worldwide financial integration by means of gradual liberalization as a part of the foreign currency exchange arrangements reform. Purpose. The main aim of the paper is to develop methodological and applied principles for the foreign currency exchange liberalization in Ukraine. Results. It has been summarized the liberalization advantages and disadvantages, identified current economic items which prevent to achieve the liberalization positive consequences in Ukraine, defined the favorable sequence of the liberalization steps in Ukraine which also contains measures of recognizing foreign currency exchange transactions aimed for capital outflow. For successful liberalization it is necessary to enroot a precondition complex which is consists of economic, monetary, financial and institutional reforms. Conclusion. Tht main goals of the liberalization in Ukraine are the next: to attract the long-term capital inflows from developed economies, to obtain access to the global financial markets, to take liberalization advantages and to reduce its disadvantages and risks.

scholarly journals Aerosol optical depth retrievals at the Izaña Atmospheric Observatory from 1941 to 2013 by using artificial neural networks

2016 ◽  
Vol 9 (1) ◽  
pp. 53-62 ◽  
Author(s):  
R. D. García ◽  
O. E. García ◽  
E. Cuevas ◽  
V. E. Cachorro ◽  
A. Barreto ◽  
...  
Keyword(s):  
Neural Networks ◽  
Time Series ◽  
Artificial Neural Networks ◽  
Aerosol Optical Depth ◽  
Optical Depth ◽  
Mineral Dust ◽  
Dust Particles ◽  
Filter Radiometer ◽  
Artificial Neural

Abstract. This paper presents the reconstruction of a 73-year time series of the aerosol optical depth (AOD) at 500 nm at the subtropical high-mountain Izaña Atmospheric Observatory (IZO) located in Tenerife (Canary Islands, Spain). For this purpose, we have combined AOD estimates from artificial neural networks (ANNs) from 1941 to 2001 and AOD measurements directly obtained with a Precision Filter Radiometer (PFR) between 2003 and 2013. The analysis is limited to summer months (July–August–September), when the largest aerosol load is observed at IZO (Saharan mineral dust particles). The ANN AOD time series has been comprehensively validated against coincident AOD measurements performed with a solar spectrometer Mark-I (1984–2009) and AERONET (AErosol RObotic NETwork) CIMEL photometers (2004–2009) at IZO, obtaining a rather good agreement on a daily basis: Pearson coefficient, R, of 0.97 between AERONET and ANN AOD, and 0.93 between Mark-I and ANN AOD estimates. In addition, we have analysed the long-term consistency between ANN AOD time series and long-term meteorological records identifying Saharan mineral dust events at IZO (synoptical observations and local wind records). Both analyses provide consistent results, with correlations  >  85 %. Therefore, we can conclude that the reconstructed AOD time series captures well the AOD variations and dust-laden Saharan air mass outbreaks on short-term and long-term timescales and, thus, it is suitable to be used in climate analysis.

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