Chinese currency exchange market

2017 ◽  
pp. 1-12
Author(s):  
Jiangze Du ◽  
Jying-Nan Wang ◽  
Kin Keung Lai ◽  
Chao Wang
Keyword(s):  
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 Contagion in the Brazilian interbank currency exchange market: an empirical analysis

2006 ◽  
Vol 36 (2) ◽  
pp. 251-262 ◽  
Author(s):  
Maria Tannuri-Pianto
Keyword(s):  
Empirical Analysis ◽  
Presidential Elections ◽  
Financial Institution ◽  
Financial Contagion ◽  
Exchange Market ◽  
Domino Effect ◽  
Exogenous Shock ◽  
Initial Failure ◽  
Currency Exchange ◽  
Financial Losses

The risk of contagion is the possibility that the failure of a financial institution affected by an exogenous shock generates the failure of other institutions not initially affected by the shock. As pointed out by Upper and Worms (2002) and others, the domino effect in the payment system depends on the precise pattern of interbank linkages. This paper studies the occurrence of financial contagion after the exogenous failure of an institution authorized to operate in the Brazilian interbank currency market. The data contain information about all the actual transactions that occurred in this market from August 1st, 2000 to October 31st, 2002. The adopted methodology shows the occurrence of contagion propagation in several subsequent rounds after the initial failure. We quantify the number of institutions that breakdown and the financial losses of the market. There is a large increase in the number of failed institutions during the period of the presidential elections in 2002.

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.

Currency Order Flow and Exchange Rate Determination: Empirical Evidence from the Malaysian Foreign Exchange Market

2018 ◽  
Vol 19 (4) ◽  
pp. 902-920
Author(s):  
Abolaji Daniel Anifowose ◽  
Izlin Ismail ◽  
Mohd Edil Abd Sukor
Keyword(s):  
Exchange Rate ◽  
Foreign Exchange ◽  
Foreign Exchange Market ◽  
Empirical Test ◽  
Order Flow ◽  
Exchange Market ◽  
Vector Autoregressive ◽  
Exchange Rate Dynamics ◽  
Currency Exchange ◽  
Exchange Rate Movements

This article presents empirical test results of Malaysian foreign exchange market microstructure assessment of exchange rate dynamics. We apply vector autoregressive (VAR) model to estimate the influential role of currency order flow in the determination of the currency exchange rate for the Malaysian ringgit (MYR) against the US dollar (USD). We investigate whether currency order flow captures the movements of exchange rate of MYR against USD, and how the long-term and short-term components impact the relative estimation of MYR in the international market. We, construct a measure of order flow in the Malaysian foreign exchange market to reflect the pressure of currency excess demand. Our focus is on the cumulative currency order flow and the exchange rate relationship of MYR and USD. A hybrid model of order flow and exchange rate dynamics proposed by Evans and Lyons (2002a) is applied to the Malaysian foreign exchange market (MYR/USD) to analyse a dataset of every 15-minute currency order flow and exchange rate movements from January 2010 to December 2015. Our dataset has unique features in terms of the quality of the data, extensive period and precise high frequency. Our results show that currency order flow explains an important portion of the movements in the MYR–USD exchange rate.

scholarly journals APPLICATION OF SKEWNESS IN PASSING OF ARCH-GARCH MODEL COMMENCE FOR CURRENCY PORTFOLIOS

2021 ◽  
pp. 108-124
Author(s):  
Муніб Ахмад ◽  
Юсаф Алі Хан ◽  
Іртаза Іштіак ◽  
Мухаммед Масуд
Keyword(s):  
Financial Time Series ◽  
Risk Measure ◽  
Arima Model ◽  
Garch Model ◽  
Exchange Market ◽  
Financial Time ◽  
Currency Exchange ◽  
Average Return ◽  
Average Variance ◽  
Better Than

The paper uses Coskewness as risk measure, average return and gives detail of efficient skewness (gamma) of a diversity of currency portfolios. This paper also applies ARCH-GARCH model, significant properties of GARCH allow to efficient modeling financial time series having obese conclusions. Then, we connect Coskewness with ARCH-GARCH models to optimize currency portfolio. To conclude, an empirical study of ten currency portfolios from Pakistan currency exchange market is performed and all the results suggest that Coskewness can better characterized the risk-adjustment and average variance and the performance of ARCH-GARCH model is better than that of ARIMA model in portfolio optimization.

Dynamics of exchange rate determination and currency order flow in the Thailand foreign exchange market

2017 ◽  
Vol 10 (2) ◽  
pp. 143-161 ◽  
Author(s):  
Abolaji Daniel Anifowose ◽  
Izlin Ismail ◽  
Mohd Edil Abd Sukor
Keyword(s):  
Exchange Rate ◽  
Foreign Exchange ◽  
Emerging Economies ◽  
Order Flow ◽  
Exchange Market ◽  
Content Type ◽  
Currency Exchange ◽  
The Us ◽  
The World

Purpose The purpose of this paper is to present the essential role that currency order flow plays in the foreign exchange markets of emerging economies in the determination of their currencies in the short and the long-run against major currencies of the world, which cannot be over emphasized, most especially against the US dollar. Insomuch that, if some of these emerging economies can be successfully transmitted into full development, it would be a good model for other emerging economies and the world at large. Design/methodology/approach A hybrid model (portfolio shift model) proposed by Evans and Lyons (2002a, 2002b) is extended to analyze a data set of every quarter of an hour currency order flow and currency exchange rate fluctuations of Thai Baht (THB) against the US$ for the period of six years (January 2010 to December 2015). To reflect the pressure of currency excess demand, the authors construct a measure of currency order flow in the Thailand currency exchange market. Vector autoregression model is applied to estimate the effectual role of currency order flow in the determination of exchange rate for the THB against the US$. Findings Currency order flow indeed accounted for a sizeable and significant portion of the fluctuations in the THB and the US$ exchange rate. Originality/value Insomuch that, the results show that currency order flow has significant explanatory power in the emerging markets economy to capture the THB exchange rate variability, and it then brings to the attention of the Thailand Monetary Authority the importance that should be attached to the market microstructure.

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