Arbitrage Detection Using AHP and LMI Algorithms

In this paper, the arbitrage opportunities in a foreign exchange market are detected using analytic hierarchy process and linear matrix inequality methods. For this purpose, first, criteria are proposed to detect the direct, triangular, quadrangular, and other types of arbitrage suspect existing in a foreign exchange market. Subsequently, the optimal arbitrage paths are given. Some simulated examples are given. A real data set is analyzed as well. Finally, a conclusion section is given.

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Clustering Mashups by Integrating Structural and Semantic Similarities Using Fuzzy AHP

International Journal of Web Services Research ◽

10.4018/ijwsr.2021010103 ◽

2021 ◽

Vol 18 (1) ◽

pp. 34-57

Author(s):

Weifeng Pan ◽

Xinxin Xu ◽

Hua Ming ◽

Carl K. Chang

Keyword(s):

Semantic Similarity ◽

Clustering Algorithm ◽

Latent Dirichlet Allocation ◽

Fuzzy Ahp ◽

Real Data ◽

Structural Similarity ◽

Analytic Hierarchy ◽

Data Set ◽

Novel Approach ◽

Hierarchy Process

Mashup technology has become a promising way to develop and deliver applications on the web. Automatically organizing Mashups into functionally similar clusters helps improve the performance of Mashup discovery. Although there are many approaches aiming to cluster Mashups, they solely focus on utilizing semantic similarities to guide the Mashup clustering process and are unable to utilize both the structural and semantic information in Mashup profiles. In this paper, a novel approach to cluster Mashups into groups is proposed, which integrates structural similarity and semantic similarity using fuzzy AHP (fuzzy analytic hierarchy process). The structural similarity is computed from usage histories between Mashups and Web APIs using SimRank algorithm. The semantic similarity is computed from the descriptions and tags of Mashups using LDA (latent dirichlet allocation). A clustering algorithm based on the genetic algorithm is employed to cluster Mashups. Comprehensive experiments are performed on a real data set collected from ProgrammableWeb. The results show the effectiveness of the approach when compared with two kinds of conventional approaches.

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THE MIRAGE OF TRIANGULAR ARBITRAGE IN THE SPOT FOREIGN EXCHANGE MARKET

International Journal of Theoretical and Applied Finance ◽

10.1142/s0219024909005609 ◽

2009 ◽

Vol 12 (08) ◽

pp. 1105-1123 ◽

Cited By ~ 16

Author(s):

DANIEL J. FENN ◽

SAM D. HOWISON ◽

MARK MCDONALD ◽

STACY WILLIAMS ◽

NEIL F. JOHNSON

Keyword(s):

Market Efficiency ◽

Foreign Exchange ◽

High Frequency ◽

Foreign Exchange Market ◽

Exchange Market ◽

Market Participants ◽

Pricing Efficiency ◽

Arbitrage Opportunities ◽

Self Consistent

We investigate triangular arbitrage within the spot foreign exchange market using high-frequency executable prices. We show that triangular arbitrage opportunities do exist, but that most have short durations and small magnitudes. We find intra-day variations in the number and length of arbitrage opportunities, with larger numbers of opportunities with shorter mean durations occurring during more liquid hours. We demonstrate further that the number of arbitrage opportunities has decreased in recent years, implying a corresponding increase in pricing efficiency. Using trading simulations, we show that a trader would need to beat other market participants to an unfeasibly large proportion of arbitrage prices to profit from triangular arbitrage over a prolonged period of time. Our results suggest that the foreign exchange market is internally self-consistent and provide a limited verification of market efficiency.

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Teaching The Bid-Ask Spread And Triangular Arbitrage For The Foreign Exchange Market

American Journal of Business Education (AJBE) ◽

10.19030/ajbe.v11i4.10212 ◽

2018 ◽

Vol 11 (4) ◽

pp. 55-62

Author(s):

Jeng-Hong Chen

Keyword(s):

International Finance ◽

Event Study ◽

Foreign Exchange ◽

Market Microstructure ◽

Foreign Exchange Market ◽

Exchange Market ◽

Bid Ask Spread ◽

Arbitrage Opportunities ◽

The Impact ◽

Fx Market

The foreign exchange (FX) market is an important chapter in international finance. Understanding the market microstructure is critical for learning the FX market. To assist students better understand the FX market microstructure, an instructor can use an event study with minute-by-minute quote data provided in the Excel assignment, asking students to investigate the impact of an event on the bid-ask spread and triangular arbitrage opportunities. This pedagogical paper provides two examples of making the Excel assignment for reference.

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Understanding Indonesia’s exchange rate behavior

Studies in Economics and Finance ◽

10.1108/sef-09-2018-0296 ◽

2019 ◽

Vol ahead-of-print (ahead-of-print) ◽

Author(s):

R. Eki Rahman

Keyword(s):

Exchange Rate ◽

Foreign Exchange ◽

Foreign Exchange Market ◽

Order Flow ◽

Flow Data ◽

Exchange Market ◽

Data Set ◽

Foreign Investors ◽

Content Type ◽

Rate Behavior

Purpose The main aim of this paper is to examine the mechanism of determining the exchange rate of the US dollar against the Indonesian rupiah (USD/IDR) by market players to manage the USD/IDR exchange rate stability. Thus, this study is expected to provide a better understanding of the determinants of the USD/IDR, given that the data set completely encompasses all the USD/IDR transactions in the Indonesian foreign exchange market. Order flow data used in this study cover all transactions on the USD/IDR conducted by domestic residents including both individuals and corporations and foreign investors in the Indonesian foreign exchange market. Design/methodology/approach This study covers the data set over the period January 3, 2011 to December 31, 2015, and the vector autoregression and autoregressive distributed lag models are used in examining the research questions. More particularly, in this study, the author examines whether the net total domestic individual transactions (DOVA), net total domestic corporation transactions (KOVA), net total foreign investor transactions (IOVA), Asian Dollar Index (ADXY), non-deliverable forward (NDF) for USD/IDR and Volatility Index (VIX) are statistically significant determinants of the USD/IDR exchange rate. Findings Overall, this study suggests that in the short run, lag of the USD/IDR exchange rate or inertia level, lag of the IOVA, lag of the NDF of the USD/IDR exchange rate and lag of the ADXY are statistically significant determinants of the USD/IDR. On the other hand, in the long run, DOVA, NDF and ADXY are found to be statistically significant determinants of USD/IDR. This study also found that there is a market leader and asymmetric information among market players in the Indonesian foreign exchange market, and their USD/IDR exchange rate level becomes a reference for other market players when conducting transactions with each other. Originality/value The paper is original along two lines. First, the data set used in this study is unique. It encompasses all the USD/IDR transactions in the Indonesian foreign exchange market. The order flow data used in this study cover all transactions on the USD/IDR conducted by domestic residents (includes both individuals and corporations) and foreign investors in the Indonesian foreign exchange market. Such an approach has not been used previously to study the exchange rate behavior in an emerging market. Second, there is limited knowledge on Indonesia’s exchange rate dynamics. This study fills this gap.

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Evolving Efficiency of Exchange Rate Movement: An Evidence from Indian Foreign Exchange Market

Global Business Review ◽

10.1177/0972150919856996 ◽

2019 ◽

Vol 21 (4) ◽

pp. 956-969 ◽

Cited By ~ 2

Author(s):

Sashikanta Khuntia ◽

J. K. Pattanayak

Keyword(s):

Exchange Rate ◽

Market Efficiency ◽

Foreign Exchange ◽

Foreign Exchange Market ◽

Exchange Rate Regime ◽

Time Varying ◽

Exchange Market ◽

Arbitrage Opportunities ◽

Window Approach ◽

Central Bank Interventions

This study empirically verifies the evolving and time-varying efficiency of Indian foreign exchange market using the framework of adaptive market hypothesis (AMH). Whether market efficiency is time varying or static, and if time varying, identification of possible events causing such time-varying efficiency are the two major agenda of this study. We employ a set of recent methods which are robust and possess stronger power properties. Moreover, we follow a fixed-length rolling window approach to explore time-varying nature of market efficiency and to avoid data-snooping bias. Our overall findings suggest that market efficiency is not an all-or-nothing condition; it varies over time. We also find that episodes of efficiency coincide with emergence of major events and market microstructure issues. Particularly, changes in exchange rate regime, financial turbulence, major central bank interventions and trade volume are the prominent causes for time-varying efficiency in INR–USD exchange rate. The evidence of swing between efficiency and inefficiency can prompt currency traders to exploit arbitrage opportunities that emerge with different market conditions.

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A Study On Technical Analysis With Reference To International Forex

Think India ◽

10.26643/think-india.v22i3.8470 ◽

2019 ◽

Vol 22 (3) ◽

pp. 1129-1144

Author(s):

Bichith C. Sekhar ◽

A. Umamaheswari

Keyword(s):

Foreign Exchange ◽

Abnormal Return ◽

Foreign Exchange Market ◽

Relative Strength ◽

Exchange Market ◽

Strength Index ◽

Technical Tool ◽

Alpha Beta ◽

Decentralized Market ◽

Currency Conversion

The foreign exchange market (Forex, FX, or currency market) is a global decentralized market for the trading of currencies. The foreign exchange market assists international trade and investments by enabling currency conversion. Our study is to test the technical tools to analyze about the technical impact and its return in the market. For this purpose 13 cross currency pairs were taken as sample size and Jensen’s Alpha, Beta, Relative Strength Index, and Buy and Hold Abnormal Return were used as technical tool for analysis and the conclusion is that it’s not preferred to invest in JPY pairs as the volatility and the return are not up to the mark and its preferred to invest in EURCAD as the return was high when compared to other scripts and the market was moving accordingly to its cross currency pair.

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Index of suicide risk in Mexico using Twitter

Journal of Social Researches ◽

10.35429/jsr.2019.15.5.1.13 ◽

2019 ◽

pp. 1-13

Author(s):

Luz Judith Rodríguez-Esparza ◽

Diana Barraza-Barraza ◽

Jesús Salazar-Ibarra ◽

Rafael Gerardo Vargas-Pasaye

Keyword(s):

Social Networks ◽

Analytic Hierarchy Process ◽

Suicide Risk ◽

Opinion Mining ◽

Real Data ◽

Analytic Hierarchy ◽

Specialized Care ◽

The Analytic Hierarchy Process ◽

Hierarchy Process

Objectives: To identify early suicide risk signs on depressive subjects, so that specialized care can be provided. Various studies have focused on studying expressions on social networks, where users pour their emotions, to determine if they show signs of depression or not. However, they have neglected the quantification of the risk of committing suicide. Therefore, this article proposes a new index for identifying suicide risk in Mexico. Methodology: The proposal index is constructed through opinion mining using Twitter and the Analytic Hierarchy Process. Contribution: Using R statistical package, a study is presented considering real data, making a classification of people according to the obtained index and using information from psychologists. The proposed methodology represents an innovative prevention alternative for suicide.

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