scholarly journals Analysis and Prediction of High Frequency Foreign Exchange Data

2021 ◽  
Author(s):  
◽  
Adrian Patrick Kennedy
Keyword(s):  
Brownian Motion ◽  
Exchange Rate ◽  
Mathematical Models ◽  
Foreign Exchange ◽  
High Frequency ◽  
Mixture Distributions ◽  
The Exchange Rate ◽  
Non Gaussian ◽  
Stochastic Properties ◽  
Exchange Data

<p>This thesis investigates the stochastic properties of high frequency foreign exchange data. We study the exchange rate as a process driven by Brownian motion, paying particular attention to its sampled total variation, along with the variance and distribution of its increments. The normality of its increments is tested using the Khmaladze transformation-2, which we show is straightforward to implement for the case of testing centred normality. We found that while the process exhibits properties characteristic of Brownian motion, increments are non-Gaussian and instead come from mixture distributions. We also introduce a technical analysis trading strategy for predicting price movements, and employ it using the exchange rate dataset. This strategy is shown to offer a statistically significant advantage, and provides evidence that exchanges rates are predictable to a greater extent than current mathematical models suggest.</p>

scholarly journals Analysis and Prediction of High Frequency Foreign Exchange Data

2021 ◽  
Author(s):  
◽  
Adrian Patrick Kennedy
Keyword(s):  
Brownian Motion ◽  
Exchange Rate ◽  
Mathematical Models ◽  
Foreign Exchange ◽  
High Frequency ◽  
Mixture Distributions ◽  
The Exchange Rate ◽  
Non Gaussian ◽  
Stochastic Properties ◽  
Exchange Data

<p>This thesis investigates the stochastic properties of high frequency foreign exchange data. We study the exchange rate as a process driven by Brownian motion, paying particular attention to its sampled total variation, along with the variance and distribution of its increments. The normality of its increments is tested using the Khmaladze transformation-2, which we show is straightforward to implement for the case of testing centred normality. We found that while the process exhibits properties characteristic of Brownian motion, increments are non-Gaussian and instead come from mixture distributions. We also introduce a technical analysis trading strategy for predicting price movements, and employ it using the exchange rate dataset. This strategy is shown to offer a statistically significant advantage, and provides evidence that exchanges rates are predictable to a greater extent than current mathematical models suggest.</p>

scholarly journals Modeling Sources of Asymmetry in the Volatility of the Moroccan Dirham Exchange Rate

2021 ◽  
Vol 8 (4) ◽  
pp. 31
Author(s):  
KHATTAB Ahmed ◽  
SALMI Yahya
Keyword(s):  
Exchange Rate ◽  
Central Bank ◽  
Exchange Rates ◽  
Foreign Exchange ◽  
Selection Criterion ◽  
Econometric Models ◽  
Interbank Market ◽  
Foreign Exchange Reserves ◽  
Central Bank Intervention ◽  
The Exchange Rate

The main objective of this paper is to study the sources of asymmetry in the volatility of the bilateral exchange rates of the Moroccan dirham (MAD), against the EUR and the USD using the asymmetric econometric models of the ARCH-GARCH family. An empirical analysis was conducted on daily central bank data from March 2003 to March 2021, with a sample size of 4575 observations. Central bank intervention in the foreign exchange (interbank) market was found to affect the asymmetry in the volatility of the bilateral EUR/MAD and USD/MAD exchange rates. Specifically, sales of foreign exchange reserves by the monetary authority cause a fall in the exchange rate, which means that the market response to shocks is asymmetric. Finally, the selection criterion (AIC) allowed us to conclude that the asymmetric model AR(1)-TGARCH(1,1) is adequate for modeling the volatility of the exchange rate of the Moroccan dirham.

Optimistic and pessimistic economic sentiments and US Dollar exchange rate

2021 ◽  
Author(s):  
Sonia Kumari ◽  
Suresh Kumar Oad Rajput ◽  
Rana Yassir Hussain ◽  
Jahanzeb Marwat ◽  
Haroon Hussain
Keyword(s):  
Exchange Rate ◽  
Foreign Exchange ◽  
Foreign Exchange Market ◽  
Ordinary Least Squares ◽  
Exchange Market ◽  
Dollar Exchange Rate ◽  
The Us ◽  
Short Run ◽  
Us Dollar ◽  
The Exchange Rate

This study investigates the affiliation of various proxies of economic sentiments and the US Dollar exchange rate, mainly focusing on the real effective exchange rate of USD pairing with three other major currencies (USDEUR, USDGBP, and USDCAD). The study has employed Google Trends data of economy optimistic and pessimistic sentiments index and survey-based economy sentiments data on monthly basis from January 2004 to December 2018. The study engaged Ordinary Least Squares (OLS) and Auto-Regressive Distributed Lag (ARDL) estimation techniques to evaluate the short-run and long-run effects of economy-related sentiments and macroeconomic variables on the exchange rate. The results from the study found that Economy Optimistic Sentiments Index (EOSI) and Economy Pessimistic Sentiments Index (EPSI) appreciate and depreciate the US Dollar exchange rate in the short-run, respectively. Our sentiment measures are robust to survey-based Michigan Consumer Sentiment Index (MSCI), Consumer Confidence Index (CCI), and various macroeconomic factors. The MSCI and CCI sentiments show a long-term impact on the foreign exchange market. This study implies that economic sentiments play a vital role in the foreign exchange market and it is essential to consider behavioral aspects when modeling the exchange rate movements.

Exporters’ Exposures to Currencies: Beyond the Loglinear Model*

2015 ◽  
Vol 20 (4) ◽  
pp. 1631-1657 ◽  
Author(s):  
Kris Boudt ◽  
Fang Liu ◽  
Piet Sercu
Keyword(s):  
Exchange Rate ◽  
Foreign Exchange ◽  
Real Option ◽  
Positive Impact ◽  
Constant Elasticity ◽  
Exporting Firms ◽  
Exchange Rate Exposure ◽  
The Exchange Rate ◽  
Exchange Rate Level ◽  
Smooth Transitions

Abstract We extend the constant-elasticity regression that is the default choice when equities’ exposure to currencies is estimated. In a proper real-option-style model for the exporters’ equity exposure to the foreign exchange rate, we argue, the convexity of the relationship implies that the elasticity should depend on the exchange rate level. For instance, it should shrink to zero when the option to export becomes worthless, and that should happen at a critical exchange rate that is still strictly positive. We propose a class of tractable multi-regime regression models featuring, in line with the real-options logic, smooth transitions and within-regime dynamics in the foreign exchange exposure. We then analyze the exchange rate exposure of Chinese exporting firms and find that the model in which the moneyness of the export option has a positive impact on the exchange rate exposure detects a significantly positive and convex exposure for 40% and 65% of the firms depending on whether the market return is included in the regression or not.

scholarly journals MULTIFRACTAL FLUCTUATIONS IN FINANCE

2000 ◽  
Vol 03 (03) ◽  
pp. 361-364 ◽  
Author(s):  
FRANCOIS SCHMITT ◽  
DANIEL SCHERTZER ◽  
SHAUN LOVEJOY
Keyword(s):  
Brownian Motion ◽  
Exchange Rate ◽  
Foreign Exchange ◽  
Stochastic Models ◽  
Evolution Equations ◽  
Foreign Exchange Rate ◽  
Scaling Exponent ◽  
Stochastic Evolution ◽  
Stochastic Evolution Equations ◽  
Multiplicative Processes

We consider the structure functions S(q)(τ), i.e. the moments of order q of the increments X(t + τ)-X(t) of the Foreign Exchange rate X(t) which give clear evidence of scaling (S(q)(τ)∝τζ(q)). We demonstrate that the nonlinearity of the observed scaling exponent ζ(q) is incompatible with monofractal additive stochastic models usually introduced in finance: Brownian motion, Lévy processes and their truncated versions. This nonlinearity correspond to multifractal intermittency yielded by multiplicative processes. The non-analyticity of ζ(q) corresponds to universal multifractals, which are furthermore able to produce "hyperbolic" pdf tails with an exponent qD > 2. We argue that it is necessary to introduce stochastic evolution equations which are compatible with this multifractal behaviour.

MODELING HIGH-FREQUENCY FOREIGN EXCHANGE DATA DYNAMICS

2003 ◽  
Vol 7 (04) ◽  
Author(s):  
ÒSCAR JORDÀ ◽  
MASSIMILIANO MARCELLINO
Keyword(s):  
Foreign Exchange ◽  
High Frequency ◽  
Data Dynamics ◽  
Exchange Data

scholarly journals Pengaruh ekspor, tingkat inflasi dan nilai tukar mata uang terhadap cadangan devisa (studi di Indonesia dan Malaysia)

2021 ◽  
Vol 9 (1) ◽  
pp. 1-12
Author(s):  
Nanda Eulia ◽  
Syaparuddin Syaparuddin ◽  
Parmadi Parmadi
Keyword(s):  
Exchange Rate ◽  
Foreign Exchange ◽  
Secondary Data ◽  
T Test ◽  
Regression Equations ◽  
Foreign Exchange Reserves ◽  
Test Analysis ◽  
Partial Regression Coefficient ◽  
The Exchange Rate ◽  
Analytical Tools

This study aims at the implications of the development of foreign exchange reserves, exports, inflation, and the exchange rate of the rupiah and Malaysian ringgit for the period 2000-2017, the implications of the effect of exports, inflation, and the rupiah exchange rate on foreign exchange reserves in Indonesia and the effect of exports, inflation and the value of the rupiah. exchange rate ringgit against Foreign Exchange Reserves in Malaysia. The type of data used in this study is secondary data which is periodic data from 2000 – 2017, hypothesis testing itself using multiple linear regression equations. The analytical tools used are the joint test (F-Test), Partial Regression Coefficient Test (t-test), and Classical Assumption Test. Based on the t-test analysis, it can be seen that exports cannot affect foreign exchange reserves. Meanwhile, inflation has a negative and significant effect on foreign exchange reserves with a coefficient of 0.159% and the exchange rate has a positive and significant effect on foreign exchange reserves with a coefficient of 1.446%. Keywords: Exports, Inflation, Exchange rates, Foreign reserves

scholarly journals MEASURING EFFICIENCY OF SOUTH AMERICAN FOREIGN EXCHANGE DERIVATIVES MARKET IN MINIMIZING CURRENCY RISK:

2019 ◽  
Vol 2 (1) ◽  
pp. 1-10
Author(s):  
RAAD MOZIB LALON
Keyword(s):  
Exchange Rate ◽  
Foreign Exchange ◽  
Exchange Rate Regime ◽  
Exchange Rate Volatility ◽  
South American ◽  
Currency Risk ◽  
Measuring Efficiency ◽  
Spot Exchange Rate ◽  
Cross Country ◽  
The Exchange Rate

This paper attempts to reveal whether the foreign exchange (FX) derivatives market effectively and efficiently reduces the volatility to foreign exchange rate fiuctuations. Cross-country evidence suggests that development ofthe FXderivatives market does not boost up spot exchange rate volatility and reduces aggregate exposure to currency risk. Intraday evidence for Chile shows that activity in the forward market has not been associated with higher volatility in the exchange rate following the adoption ofa fioating exchange rate regime. The study also found no evidence that net positions of large participants in the FX derivatives market help to predict the exchange rate. These findings support the view that development of the FX derivatives market is valuable to reduce aggregate currency risk.

scholarly journals The “day-of-the-week” effects in the exchange rate of Latin American currencies

2019 ◽  
Vol 14 (PNEA) ◽  
pp. 485-507
Author(s):  
Roberto Joaquín Santillán Salgado ◽  
Alejandro Fonseca Ramírez ◽  
Luis Nelson Romero
Keyword(s):  
Exchange Rate ◽  
Exchange Rates ◽  
Foreign Exchange ◽  
Latin American ◽  
Foreign Exchange Market ◽  
The United States ◽  
Management Decision ◽  
Exchange Market ◽  
Day Of The Week ◽  
The Exchange Rate

This paper examines the “day-of-the-week” anomaly in the foreign exchange market of six major Latin American countries’ currencies: (Argentina, Brazil, Chile, Colombia, Mexico, and Peru), all with respect to the United States’ dollar. The returns of daily exchange rates are stationary, so we use linear regressions combined with GARCH, TARCH and EGARCH models to explore the presence of the “day-of-the-week” anomaly. The results confirm the presence of “abnormal” effects in some of the currencies and in some days of the week, particularly on Fridays and Mondays. Moreover, volatility in exchange rates shows clustering behavior, as well as leverage effects, which are carefully modelled in our analysis. This paper contributes to the literature by studying the “day-of-the-week” effects in currency exchange rate markets, a clear innovation with respect to the typical stock market analysis. The results reported are useful for foreign exchange market traders, currency exposure management decision makers, monetary authorities, and financial policy designers in the countries included in the study. Indeed, the results suggest the presence of a typical behavior of the exchange rate of all the currencies included in the sample.

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