scholarly journals Entropy Risk Factor Model of Exchange Rate Prediction

2017 ◽  
Vol 8 (3) ◽  
pp. 51 ◽  
Author(s):  
Darrol J. Stanley ◽  
Levan Efremidze ◽  
Jannie Rossouw
Keyword(s):  
Risk Factor ◽  
Exchange Rate ◽  
Complex Systems ◽  
South African ◽  
Foreign Exchange Market ◽  
Factor Model ◽  
Risk Factor Model ◽  
Dynamic Investment ◽  
Daily Data ◽  
Exchange Rate Prediction

We investigate the predictability of an exchange rate with entropy risk factor model, as there is growing evidence that financial markets behave as complex systems. The model is tested on the data of South African Rand (ZAR) exchange rate for the period of 2004-2015. We calculate sample entropy based on the daily data of the exchange rate and conduct empirical implementation of several market timing rules based on these entropy signals. The dynamic investment portfolio based on entropy signals produces better risk adjusted performance than a buy and hold strategy. The returns are estimated on the portfolio values in U.S. dollars. The results raise the potential attractiveness of complex systems analyses, especially the methods of entropy, for foreign exchange market research and applications.

Suicide among individuals with schizophrenia: A risk factor model

2014 ◽  
Vol 14 (2) ◽  
pp. 112-132 ◽  
Author(s):  
Lindsay A. Bornheimer ◽  
Duy Nguyen
Keyword(s):  
Risk Factor ◽  
Factor Model ◽  
Risk Factor Model

Risk factor model of mechanical complications in implant-supported fixed complete dentures: A prospective cohort study

2018 ◽  
Vol 29 (9) ◽  
pp. 915-921 ◽  
Author(s):  
Maria Paula L. Coltro ◽  
Ahmet Ozkomur ◽  
Eduardo A. Villarinho ◽  
Eduardo R. Teixeira ◽  
Alvaro Vigo ◽  
...  
Keyword(s):  
Risk Factor ◽  
Cohort Study ◽  
Prospective Cohort Study ◽  
Prospective Cohort ◽  
Factor Model ◽  
Complete Dentures ◽  
Risk Factor Model ◽  
Mechanical Complications

scholarly journals Covered interest arbitrage opportunities in the South African foreign exchange market

1987 ◽  
Vol 18 (4) ◽  
pp. 209-214
Author(s):  
C. De J. Correia ◽  
R. F. Knight
Keyword(s):  
Exchange Rate ◽  
Interest Rates ◽  
South African ◽  
Foreign Exchange ◽  
Foreign Exchange Market ◽  
Exchange Market ◽  
The South ◽  
Dollar Exchange Rate ◽  
Interest Parity ◽  
Interest Differential

The Interest Parity Theory states that in an efficient market, any interest differential between local and foreign sources of finance will be offset by the forward premium/discount. Therefore, opportunities to engage in profitable Covered Interest Arbitrage transactions will be eliminated quickly. The fall in the Rand/Dollar exchange rate resulted in many South African companies reporting substantial foreign exchange losses on offshore loans. Companies were attracted to foreign sources of finance because of lower foreign interest rates. The authors conclude, on the basis of empirical tests, that the forward Rand/Dollar exchange rate followed its interest parity value very closely over the period August 1983 - August 1985. Opportunities to engage in risk-free arbitrage activities were offset by related transaction costs. The South African foreign exchange market is efficient to the extent that risk-free profit opportunities did not exist for the period under review and therefore there was no benefit, after adjusting for risk, for South African management to borrow from offshore sources of finance.

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