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Journal articles on the topic 'FOREX EXCHANGE'
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Sadhasivam, Jayakumar, M. Arun, R. Deepa, V. Muthukumaran, R. Lokesh Kumar, and R. B. Prasanna Kumar. "Forex exchange using big data analytics." Journal of Physics: Conference Series 1964, no. 4 (July 1, 2021): 042060. http://dx.doi.org/10.1088/1742-6596/1964/4/042060.
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Zaitsev, O., and T. Dvorianova. "ACQUAINTANCE TO FOREX FOREIGN EXCHANGE MARKET." Vìsnik Sumsʹkogo deržavnogo unìversitetu, no. 1 (2020): 174–80. http://dx.doi.org/10.21272/1817-9215.2020.1-20.
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The article draws attention to the steady growth of the general trend of direct participation of individuals in financial transactions using electronic platforms. In particular, the article notes the increased interest in participating in operations in the Forex currency market. It is emphasized that relatively technically easy access to participation in financial transactions through the use of electronic platforms is currently a potential threat to financial security for the funds of participants in such transactions. This is a lack of professional training of most novice traders who voluntarily become participants in financial transactions. It is emphasized that stock exchange transactions on stock markets, purchase and sale of currency on electronic platforms, transactions with gold, etc. require, along with general, also special knowledge on certain specific areas of economic development and financial relations. Also, psychological and behavioral factors begin to "work" in such relationships. It is noted that only from the beginning of 2019 in Ukraine at the legislative level began a systematic regulation of the structure of the foreign exchange market and the procedure for trading in foreign currency. The article states that it is time to pay attention to digitalized trading activities from a professional point of view and start teaching in educational institutions the relevant disciplines for training and acquiring students' general skills in trade and financial transactions on electronic platforms. From this point of view, the article provides an introductory review of the Forex currency market, outlines the principles of its operation, pays more attention to trading strategies. As a result, the following conclusions are made that, first, the foreign exchange market is highly profitable provided that its trends are mastered; secondly, the foreign exchange market is high risk; it is necessary to understand not only in many terms, but, especially, in processes and situations in the financial-globalized world to confidently use charts of change of cost of currencies for profit; thirdly, there are many different strategies that can be used successfully in the currency market, from the simplest - for amateurs, to more complex - for experienced traders, but none of them will fit perfectly for a particular psychotype, professional level and amount of time a person - trader can pay trade. Of particular value, according to the authors, is the following conclusion: a trader creates his own strategy, which provides a greater likelihood of earnings in the international Forex market. Currency trader is a creative activity, but an activity based on mastering a large base of professional knowledge.
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Saglam, Ismail. "Perverse Effects of Non-sterilized Interventions on Spot Foreign Exchange Rates." South Asian Journal of Macroeconomics and Public Finance 8, no. 1 (May 1, 2019): 26–56. http://dx.doi.org/10.1177/2277978719836307.
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We study the effects of non-sterilized intervention on a spot foreign exchange (forex) rate using a multi-period game-theoretical model which involves an unspecified number of competitive traders, a finite number of strategic traders (forex dealers) with heterogenous initial money balances, and the central bank of the home country. Simulating the subgame-perfect Nash equilibrium of the two-stage game played by the forex dealers in each period, we show that the non-sterilized intervention of the central bank may lead to a perverse effect on the spot forex rate. We call the mechanism underlying this effect strategic trade switching channel that works when an increase in the central bank’s forex currency demand (supply) exerts such a big upward (downward) effect on the forex rate that some sufficiently big dealers, who optimally bought (sold) forex currency in the previous period when the forex rate was sufficiently low, find in the current period selling (buying) it more profitable, thus moving the forex rate in a direction undesired by the central bank. JEL Classification: D43, F31, G20
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Kavtaradze, Nino. "CURRENCY SYSTEM AND CURRENCY TRADING OF GEORGIA." PIRETC-Proceeding of The International Research Education & Training Centre 104, no. 1-2 (April 4, 2021): 70–75. http://dx.doi.org/10.36962/ecs104/1-2-70.
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The present empirical paper investigates the following issues: the formation of the Georgian currency system that started after the collapse of the Soviet Union, when the country has declared its independence, establishing the National Bank of Georgia and issuing the national currency. Also is discussed financial market where foreign exchange and transaction are made. As it is known today, in the international currency market, 90% of the world market holds the FOREX (Foreign Exchange Market), which makes it the largest foreign exchange market in the world. FOREX currency traders, together with traditional forms, offers the most modern and comfortable form of trade - Online trading. The existing currencies are largely proportional to the ongoing processes of the FOREX market. Keywords: Currency, Currency Exchange Rate, Currency Market, Interbank Exchange Market, Foreign Exchange, FOREX Market.
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ABUELFADL, MOUSTAFA. "INDIVIDUAL FOREIGN EXCHANGE INVESTORS, RETURN PREDICTABILITY AND MARKET TIMING." Annals of Financial Economics 12, no. 01 (March 2017): 1750001. http://dx.doi.org/10.1142/s2010495217500014.
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This study tests whether individual foreign exchange (Forex) investors can predict future returns, time the market and generate alpha after transaction costs. Using a sample of 1,231 Forex trading accounts and 72,072 trades, the results show that individual Forex investors can predict future returns up to eight days after trade execution, even after controlling for Volatility. The results of return predictability are significant because they support the idea that linear independence is rejected as well as provide empirical evidence that private information is available in the foreign exchange market.
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Agung, Satria Wiro, Kelvin Supranata Wangkasa Rianto, and Antoni Wibowo. "Comparative Study of Forecasting Models for Forex Predictions with the Impact of Different Currencies." International Journal of Emerging Technology and Advanced Engineering 12, no. 1 (January 16, 2022): 11–22. http://dx.doi.org/10.46338/ijetae0122_02.
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- Foreign Exchange (Forex) is the exchange / trading of currencies from different countries with the aim of making profit. Exchange rates on Forex markets are always changing and it is hard to predict. Many factors affect exchange rates of certain currency pairs like inflation rates, interest rates, government debt, term of trade, political stability of certain countries, recession and many more. Uncertainty in Forex prediction can be reduced with the help of technology by using machine learning. There are many machine learning methods that can be used when predicting Forex. The methods used in this paper are Long Short Term Memory (LSTM), Gated Recurrent Unit (GRU), Support Vector Regression (SVR). XGBOOST, and ARIMA. The outcome of this paper will be comparison results that show how other major currency pairs have influenced the performance and accuracy of different methods. From the results, it was proven that XGBoost outperformed other models by 0.36% compared to ARIMA model, 4.4% compared to GRU model, 8% compared to LSTM model, 9.74% compared to SVR model. Keywords— Forex Forecasting, Long Short Term Memory, Gated Recurrent Unit, Support Vector Regression, ARIMA, Extreme Gradient Boosting
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Sugeng, Sugeng, M. Noor Nugroho, Ibrahim Ibrahim, and Yanfitri Yanfitri. "EFFECTS OF FOREIGN EXCHANGE SUPPLY AND DEMAND DYNAMICS TO RUPIAH EXCHANGE RATE AND ECONOMIC PERFORMANCE." Buletin Ekonomi Moneter dan Perbankan 12, no. 3 (November 19, 2010): 289–328. http://dx.doi.org/10.21098/bemp.v12i3.374.
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This study examines the influence of forex demand and supply interaction on Rupiah's exchange rate. Estimation results show that the movement of rupiah is influenced by the forex supply and demand, where the foreign players are dominating. Furthermore, the demand and supply of foreign exchange is asymmetric.This paper also shows the impact of exchange rate movements on output is only in the short term with a more significant influence to the import, while the depreciation of Rupiah has a larger impact than its appreciation.Keywords:Foreign exchange, inflation, exchange rate.JEL Classification: E31, F31
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Taufik, Eza Herlambang, Muhammad Harlie, and Kurniaty Kurniaty. "PENGARUH KEMAMPUAN, PENGALAMAN DAN DISIPLIN KERJA TERHADAP KINERJA KARYAWAN." Al-KALAM JURNAL KOMUNIKASI, BISNIS DAN MANAJEMEN 4, no. 1 (July 22, 2017): 99. http://dx.doi.org/10.31602/al-kalam.v4i1.831.
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The evolution of the forex market is divided into two stages. World War IPeriod and the Bretton Woods period is included Fixed Rate Periodstage. At this stage, forex does not excite transactions because of exchange rate changes can only occur in a relatively narrow range. After a period of Bretton Woods, after the failure of Period Exchange Rates Remain in maintaining economic stability, forex transactions getting psyched. This occurs because the assessment of the exchange rate between countries be left entirely to the market mechanism. The market will determine whether the exchange rate is too expensive (over-valued) or too low (under-valued).This study aims to determine the effect of ability, experience and discipline together and partially on the performance forex trader in South Kalimantan. This type of research is quantitative method. The samples were obtained 56 votes. To determine the effect the ability, experience and discipline to the performance of the test statistic methods trader used multiple linear regression. Data processing was performed using IBM SPSS Statistics 23 program for Windows.Based on the results of the research show that together the ability, experience and discipline significant effect on the performance of forex traders in South Kalimantan. Partially, ability, experience and discipline positive and significant impact on the performance of forex traders in South Kalimantan.Keywords: Capability, Experience, Discipline and Performance
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Pakhrudin, Khairul, Kamalia Azma Kamaruddin, and Fauziah Ahmad. "TRADER HUB SYSTEM DEVELOPMENT USING VAN K THARP EXPECTANCY THEORY TO ANALYSE RETAIL FOREX TRADING SYSTEM PERFORMANCE." MALAYSIAN JOURNAL OF COMPUTING 5, no. 2 (August 3, 2020): 523. http://dx.doi.org/10.24191/mjoc.v5i2.8995.
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With the advance of technology, foreign exchange trading, known as forex or FX trading, has been conducted electronically using the Internet. Forex traders were using technical analysis to project the best price when buying or selling currencies, and by using the technical analysis tools, they have created their own trading system. Forex traders need to make consistent profitability in the long term to sustain in the forex market, therefore a good trading system is vital. In order to evaluate their trading system performance, forex traders can use the backtesting and forward testing methods. However, these two methods took a long time to perform and did not provide the exact benchmark quality of the trading system. This paper describes how Van K Tharp Expectancy Theory was applied in the development of the Trader Hub System (THS) to evaluate forex trading systems quality. By using the system development life cycle (SDLC) methodology, four phases have been undertaken, which were requirements gathering, requirements analysis, system design, and system development. The outcome is a system that can easily evaluate forex trading system performance; thus, it may help retail forex traders in Malaysia to do technical analysis on their foreign exchange pairs.
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M., Robinson, and Kabari L.G. "Predicting Foreign Exchange Using Digital Signal Processing." British Journal of Computer, Networking and Information Technology 4, no. 2 (September 5, 2021): 1–11. http://dx.doi.org/10.52589/bjcnit-sqwfnrnd.
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The forex market is one associated with so much volatility and can lead to grave financial losses if not properly understood. To understand the market is to study the price patterns from previous years or months and make predictions from the rate of falling and rising. There have been so much researches aimed at developing a predictive model for the FOREX market, however, no model has been able to handle the market volatility while predicting future rates accurately. In this work, we have developed a digital processing model for predicting foreign exchange using ARIMA and Artificial Neural Network algorithms. We used price datasets for five currencies namely: USD, Swiss Pounds, Yen, Euro and Franc, gotten from the Central Bank of Nigeria (CBN) website. The data ranged from a period of 20 years. The model was simulated using MATLAB software. The study performed excellently in terms of time (26 seconds) and minimal errors (0.7). This work could be beneficial to FOREX traders and to the entire research community.
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Hadi, Sofyanto. "The Effect of Interest Rate and Inflation on Forex Rates." Business and Entrepreneurial Review 5, no. 1 (January 3, 2006): 57. http://dx.doi.org/10.25105/ber.v5i1.1190.
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The purpose of this study is to do the simulation by using arbitrage facilities for such investment of foreign exchange. This study will find the best foreign exchange between US Dollar, SGD,<br />CAD and Yen, with the best interest rate and the best inflation rate for such transaction by using arbitrage transaction mechanism. In forex transaction, the risk of speculation is very high but this is becoming a reason why this kind of transaction was being attractive and obviously more economic players have an opportunity to get more profit due to differences occurred (spread) on exchange rates. The problem is how to manage such situation the most possible way, especially for managers. The role of estimation, for example by knowing the variables that determined foreign exchange rates, is getting more important in forex trading. Beside that, arbitrage can give additional profit from a forex investment and windfall profit from the spread of the foreign exchange.
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Olufemi, Adeyeye Patrick, Aluko Olufemi Adewale, and Migiro Stephen Oseko. "Efficiency of Foreign Exchange Markets in Sub-Saharan Africa in the Presence of Structural Break: A Linear and Non-Linear Testing Approach." Journal of Economics and Behavioral Studies 9, no. 4(J) (September 4, 2017): 122–31. http://dx.doi.org/10.22610/jebs.v9i4(j).1827.
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This study examines the efficiency of foreign exchange (forex) market of 10 selected countries in sub-Saharan Africa in the presence of structural break. It uses data on the average official exchange rate of currencies of the selected countries to the US dollar from November 1995 to October 2015. This study employs Perron unit root test with structural break to endogenously determine the break period in the forex markets. It also employs the Kim wild bootstrap variance ratio test and BDS independence test to detect linear and nonlinear dependence in forex market returns respectively. In the full sample period, the Kim wild bootstrap joint variance ratio test shows that only two forex markets are efficient while the BDS independence test reports that all the forex markets are not efficient. The subsample period analysis indicates that the efficiency of the majority of the forex markets is sensitive to structural break, thus providing evidence in support of the adaptive market hypothesis. This study suggests that ignoring structural break and nonlinearity of returns may lead to misleading results when testing for market efficiency.
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Olufemi, Adeyeye Patrick, Aluko Olufemi Adewale, and Migiro Stephen Oseko. "Efficiency of Foreign Exchange Markets in Sub-Saharan Africa in the Presence of Structural Break: A Linear and Non-Linear Testing Approach." Journal of Economics and Behavioral Studies 9, no. 4 (September 4, 2017): 122. http://dx.doi.org/10.22610/jebs.v9i4.1827.
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This study examines the efficiency of foreign exchange (forex) market of 10 selected countries in sub-Saharan Africa in the presence of structural break. It uses data on the average official exchange rate of currencies of the selected countries to the US dollar from November 1995 to October 2015. This study employs Perron unit root test with structural break to endogenously determine the break period in the forex markets. It also employs the Kim wild bootstrap variance ratio test and BDS independence test to detect linear and nonlinear dependence in forex market returns respectively. In the full sample period, the Kim wild bootstrap joint variance ratio test shows that only two forex markets are efficient while the BDS independence test reports that all the forex markets are not efficient. The subsample period analysis indicates that the efficiency of the majority of the forex markets is sensitive to structural break, thus providing evidence in support of the adaptive market hypothesis. This study suggests that ignoring structural break and nonlinearity of returns may lead to misleading results when testing for market efficiency.
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Miśkiewicz, Janusz. "Network Analysis of Cross-Correlations on Forex Market during Crises. Globalisation on Forex Market." Entropy 23, no. 3 (March 15, 2021): 352. http://dx.doi.org/10.3390/e23030352.
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Within the paper, the problem of globalisation during financial crises is analysed. The research is based on the Forex exchange rates. In the analysis, the power law classification scheme (PLCS) is used. The study shows that during crises cross-correlations increase resulting in significant growth of cliques, and also the ranks of nodes on the converging time series network are growing. This suggests that the crises expose the globalisation processes, which can be verified by the proposed analysis.
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Das, Pritha, and Atin Das. "Investigating the Existence of Chaos in Inflation Data in relation to Chaotic Foreign Exchange Rate." Economics Research International 2014 (October 21, 2014): 1–8. http://dx.doi.org/10.1155/2014/783505.
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Foreign exchange (ForEx) rates are amongst the most important economic indices in the international monetary markets. ForEx rate represents the value of one currency in another and it fluctuates over time. It is related to indicators like inflation, interest rate, gross domestic product, and so forth. In a series of works, we investigated and confirmed the chaotic property of ForEx rates by finding positive largest Lyapunov exponent (LLE). As inflation influences ForEx, in this work we would like to address the specific question, Is inflation data also chaotic? We collected data for time period of 2000 to 2013 and tested for nonlinearity in data by surrogate method. Calculating LLE, we find existence of chaos in inflation data for some countries.
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Nguyen Thi Thu, Thuy, and Vuong Dang Xuan. "FoRex Trading Using Supervised Machine Learning." International Journal of Engineering & Technology 7, no. 4.15 (October 7, 2018): 400. http://dx.doi.org/10.14419/ijet.v7i4.15.23024.
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The exchange rate of each money pair can be predicted by using machine learning algorithm during classification process. With the help of supervised machine learning model, the predicted uptrend or downtrend of FoRex rate might help traders to have right decision on FoRex transactions. The installation of machine learning algorithms in the FoRex trading online market can automatically make the transactions of buying/selling. All the transactions in the experiment are performed by using scripts added-on in transaction application. The capital, profits results of use support vector machine (SVM) models are higher than the normal one (without use of SVM).
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Ahn, Changmo, George Fane, and And Euy-Hoon Suh. "FOREX DEALERS‘ PERSPECTIVES ON EXCHANGE RATE DETERMINATION IN KOREA." Economic Papers: A journal of applied economics and policy 23, no. 2 (June 2004): 140–51. http://dx.doi.org/10.1111/j.1759-3441.2004.tb00360.x.
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Dautel, Alexander Jakob, Wolfgang Karl Härdle, Stefan Lessmann, and Hsin-Vonn Seow. "Forex exchange rate forecasting using deep recurrent neural networks." Digital Finance 2, no. 1-2 (March 27, 2020): 69–96. http://dx.doi.org/10.1007/s42521-020-00019-x.
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Abstract Deep learning has substantially advanced the state of the art in computer vision, natural language processing, and other fields. The paper examines the potential of deep learning for exchange rate forecasting. We systematically compare long short-term memory networks and gated recurrent units to traditional recurrent network architectures as well as feedforward networks in terms of their directional forecasting accuracy and the profitability of trading model predictions. Empirical results indicate the suitability of deep networks for exchange rate forecasting in general but also evidence the difficulty of implementing and tuning corresponding architectures. Especially with regard to trading profit, a simpler neural network may perform as well as if not better than a more complex deep neural network.
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Drożdż, Stanisław, Ludovico Minati, Paweł Oświȩcimka, Marek Stanuszek, and Marcin Wa̧torek. "Signatures of the Crypto-Currency Market Decoupling from the Forex." Future Internet 11, no. 7 (July 10, 2019): 154. http://dx.doi.org/10.3390/fi11070154.
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Based on the high-frequency recordings from Kraken, a cryptocurrency exchange and professional trading platform that aims to bring Bitcoin and other cryptocurrencies into the mainstream, the multiscale cross-correlations involving the Bitcoin (BTC), Ethereum (ETH), Euro (EUR) and US dollar (USD) are studied over the period between 1 July 2016 and 31 December 2018. It is shown that the multiscaling characteristics of the exchange rate fluctuations related to the cryptocurrency market approach those of the Forex. This, in particular, applies to the BTC/ETH exchange rate, whose Hurst exponent by the end of 2018 started approaching the value of 0.5, which is characteristic of the mature world markets. Furthermore, the BTC/ETH direct exchange rate has already developed multifractality, which manifests itself via broad singularity spectra. A particularly significant result is that the measures applied for detecting cross-correlations between the dynamics of the BTC/ETH and EUR/USD exchange rates do not show any noticeable relationships. This could be taken as an indication that the cryptocurrency market has begun decoupling itself from the Forex.
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I Made Aswin Ksamawantara, Johannes Ibrahim Kosasih, and I Made Minggu Widyantara. "Perlindungan Konsumen Terhadap Penipuan yang dilakukan Broker Forex Ilegal." Jurnal Interpretasi Hukum 2, no. 2 (June 17, 2021): 281–86. http://dx.doi.org/10.22225/juinhum.2.2.3426.281-286.
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The phenomenon of Foreign Exchange (Forex) that runs in the investment sector and can help the development of Indonesia. Currently forex is a trend that is endemic and attracts the attention of many parties, both investors and the public in general. Foreign exchange or forex is a type of trade or transaction that trades the currency of a country against the currencies of other countries involving the main money markets in the world for 24 hours continuously, so in this case a legal protection is needed. The purpose of this research is to analyze legal protection in Forex transactions and legal sanctions imposed by the government on illegal Forex broker activities. This research uses a normative method that with a statutory approach. Sources of data used are primary data sources and secondary data sources. After primary legal data and secondary legal data are collected, the data will then be processed and analyzed using systematic legal data processing methods. The results showed that the alleged fraudulent investment fraud case under the guise of forex trading involved illegal brokers from the Guardian Capital Group (GCG) Asia, which harmed consumers. In line with that, the government issued a legal rule, namely Law No.8 of 1999 concerning Consumer Protection. The Consumer Protection Law that has been set by the government is the legal basis that is accurate and full of optimism in protecting consumer rights.
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Suratman, Suratman. "Expert Advisor Foreign Exchange Menggunakan Simple Moving Average." Jurnal Bangkit Indonesia 7, no. 1 (March 6, 2018): 30. http://dx.doi.org/10.52771/bangkitindonesia.v7i1.33.
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Foreign exchange (forex) trading adalah transaksi perdagangan nilai tukar mata uang asing di pasar uang internasional, pada saat ini perdagangan foreign exchange banyak diminati oleh masyrakat luas. Pada dasarnya trading forex (foreign exchange) dilakukan secara manual, sehingga hal itu membutuhkan pemantauan grafik harga secara terus-menerus pada layar monitor dan tentu saja itu membuang waktu dan tenaga serta psikologi trader sendiri. Berdasarkan permasalahan yang ada, penulis melakukan analisa dan merancang expert advisor menggunakan indikator simple moving average yang mengantisipasi kelemahan-kelemahan pada trading manual.Perancangan expertadvisor menggunakan indikator simple moving average yang penulis usulkan telah menjawab permasalahan yang ada. Dengan demikian expert advisor ini akan memberikan hasil yang baik dalam trading. Software yang digunakan sebagai alat bantu dalam penelitian ini adalah menggunakan metaeditor dan metatrader 4, metodologi yang digunakan untuk pengembangan expert advisor ini adalah menggunakan metode sekuensial linier.
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Bala Bhaskaran, P., and P. K. Priyan. "Strategies of Indian Firms in Coping With Forex Risk Management: An Inquiry Through Case-Research Method." SDMIMD Journal of Management 6, no. 1 (March 1, 2015): 13. http://dx.doi.org/10.18311/sdmimd/2015/3961.
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More and more Indian firms are becoming global in their operations - through exports and imports, by setting up manufacturing plants abroad and through joint-ventures and tie-ups. In this process most of them are dealing with multiple currencies. This has increased the overall exposure of Indian firms to foreign exchange-rate fluctuations. How have they been coping with the risk associated with the exchange-rate fluctuations? In order to explore this, the authors have engaged the case-research method. The authors studied 64 cases for this purpose. Of these 27, firms have been handling forex exposure and/or have had at least one near-crisis situation in the past. The remaining 37 cases are Indian firms from sectors like Textiles, IT, Gems and Jewelry, Pharma, Engineering, FMCG and Energy. The study focused on the context of these firms, their business model, the sources of forex exposure and the policies and practices of managing forex exposure risk. The authors have tried to identify the basic factors underlying the forex exposure and to identify patterns, if any, in the coping-strategy. They conclude that the insights would help formulate a generic strategy.
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Zvonova, E. A. "Scenario Analysis of the Russian Forex Market Development Strategies." Economics, taxes & law 11, no. 6 (December 26, 2018): 26–38. http://dx.doi.org/10.26794/1999-849x-2018-11-6-26-38.
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The subject of the research is the foresight into development strategies of the foreign exchange sector of the Russian financial market under the new geo-economic conditions and in the context of the international monetary system reform and sanctions on Russian transactions in the international financial market. The relevance of the problem is caused by the ruble volatility and strong fluctuations in the values of macroeconomic variables after 2014. The purpose of the research was to develop a scenario model for the development of the Russian forex market for the next three years based on three scenario forecasts: optimistic, pessimistic and conservative. A scenario model of the Russian foreign exchange market development was built by superimposing scenarios of the national economy development on the forex market development scenarios along with assessment of the possible impact of the forex market development on other national financial market segments. The model is based on international macroeconomic variables statistics, the state of Russia’s payment balance and also on a comparative analysis of the development indices of national economies of raw materials exporting countries and the national economy of Russia. For data aggregation and reduction to a single format, an information-logical model for formation of the research information base was developed. The obtained scenario model for the development of the Russian financial market forex sector has a high predictive capability. The paper concludes that, based on the scenario model, the forex sector of the Russian financial market will be fairly stable over the next three years, which should be taken into account by the Bank of Russia when making decisions on the forex policy and creation of international currency reserves.
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Teixeira, Felipe Wolk, Roberto Meurer, and André Alves Portela Santos. "O que motiva a realização de intervenções cambiais? Análise das atuações do Banco Central do Brasil no mercado BRL/USD." Brazilian Review of Finance 11, no. 2 (July 2, 2013): 215. http://dx.doi.org/10.12660/rbfin.v11n2.2013.4008.
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In this paper we study what drives buy-side and sell-side probabilities of intervention by the Brazilian Central Bank (BCB) on the USD/BRL spot market between 1999 and 2010. BCB’s forex interventions seem to be related to the exchange rate returns and volatility as well as to the spread between domestic and foreign interest rates. Lagged interventions also appear to have an effect on current interventions. Our findings suggest that the operation of the policymaker in the forex market may serve as a signaling of a possible coordination between BCB’s foreign and monetary policies along with the possibility of an unofficial adoption of an exchange rate band.
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Majerčáková, Daniela, and Michal Greguš. "The Creation of the Convenient Investment Strategy in Forex." European Journal of Economics and Business Studies 5, no. 1 (April 30, 2019): 80. http://dx.doi.org/10.26417/ejes.v5i1.p80-88.
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Forex that belongs into the biggest and the most widespread financial markets in the world has the daily turnover that is assessed to more than 5 trillion USD. This fact is at the same time a temptation for investors and attracts them to trade in this market. Only the small percentage from this daily turnover is made of the business of governments and companies, that purchade in foreign countries or need to exchange foreign currency for the domestic one. The majority consists of the speculative business. Speculative business is based on the expectations of a speculator on the future rise or fll of exchange rate, that he plans to earn money on. In this case, we are talking about the market with unpredictable environment. It is controlled by the crowd of people who create the most extensive financial market of the world by their mutual purchasing and selling foreign currencies. The aim of this paper is to create the convenient investment strategy on the basis of the analysis of foreign exchange market. We have used the description for the fulfillment of this aim and consequently we have focused on business strategies as the fundamental and technical analysis and its use in the real trading. We have described the development of trading in the chosen market and period by means of fictitious account on the platform Metatrader4. Consequently, we have analysed the influence of the particular factors on the results of investing in Forex
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Piasecki and Stasiak. "The Forex Trading System for Speculation with Constant Magnitude of Unit Return." Mathematics 7, no. 7 (July 12, 2019): 623. http://dx.doi.org/10.3390/math7070623.
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The main purpose of this article is to investigate a speculative trading system with a constant magnitude of return rate. We consider speculative operations related to the exchange rate given as the quotient of the base exchange medium by the quoted currency. An exchange medium is understood as any currency or any precious metal. The unit return is defined as the return expressed in the quoted currency by the amount of base exchange medium. All possible states of the exchange market form a finite elemental space. All knowledge about the dynamics of this market is presented as a prediction table describing the conditional probability distributions of incoming exchange rate changes. On the other hand, in the proposed trading system each speculative operation is concluded in such a way that the gross payment is determined by the given magnitude of unit return. The paper contains an analysis of the following evaluation criteria: annual number of transaction, success probability, expected unit payment, expected unit profit, risk index, unit risk premium, return rate, interest rate, and interest risk premium. Both of these indices can be used to select the effective trading systems. Effectiveness is considered in the local sense and in the global sense.
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Musa, Musa. "Determinan Keputusan Menjadi Nasabah Jual Beli Valas (Al-Sharf) di Bank Syariah." Al-Tijary 5, no. 2 (June 24, 2020): 109–24. http://dx.doi.org/10.21093/at.v5i2.2023.
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Forex trading is a part of the economic system that has an impact on satisfying the main needs in the life of global and modern society today. Currently, it is not only the foreign exchange market that conducts foreign exchange trading, but Bank Indonesia also holds a foreign exchange market, where foreign exchange banks can carry out foreign exchange transactions with BI. The satisfaction of community needs in this regard is related to product innovation, location, and promotion strategies in forex trading. The purpose is to analyze the effect of product innovation, location, and promotion strategies on the decision to become a foreign exchange customer (sharf) at Bank Syariah Mandiri Pangkalpinang Branch. This research is a quantitative descriptive. The sample is 66 customers. While the analysis technique used is the multiple linear regression test. The results are: (1) There is a significant influence of the product innovation variable on the decision to become a foreign exchange customer; (2) There is no significant effect of location variables on the decision to become a foreign exchange customer; (3) There is a significant influence of promotion variables on the customer's decision to buy and sell foreign currencies.
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Azmi, M. "Transaksi Jual Beli Foreign Exchange Secara Online Perspektif Hukum Islam." TERAJU 2, no. 02 (September 24, 2020): 117–27. http://dx.doi.org/10.35961/teraju.v2i02.157.
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This article The development of the latest technology cannot be separated from its influence on the lifestyle trends and human economic behavior, as well as investment behavior. Forex online trading includes financial investments, especially in investments in the field of money markets and commodity futures exchanges. The author is of the view that the online forex trading transaction law is haram because it does not fulfill the pillars and conditions of sale and purchase and contains elements of gharar, maisir (gambling), usury and violates the provisions of al-sharf that is the element of speculation / chance, and this investment is classified in trading futures (future market) means the place / facility of buying and selling contracts for a number of commodities or financial instruments at a certain price whose agreed delivery of goods will be carried out in the future.
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Rassetiadi, Rian, and Suharjito Suharjito. "Foreign exchange prediction based on indices and commodities price using convolutional neural network." Indonesian Journal of Electrical Engineering and Computer Science 18, no. 1 (April 1, 2020): 494. http://dx.doi.org/10.11591/ijeecs.v18.i1.pp494-501.
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The level of accuracy in predicting is the key in conducting forex trading activities in gaining profits. Some predictions are made only by using historical currency data to be predicted, this makes predictions less accurate because they do not consider external influences. This study examines external factors that can influence the results of predictions, by looking for the relationship between the value of indices such as NTFSE and S & P 500 and the value of commodities such as gold and silver to the prediction process of EUR / USD. Prediction carried out using a deep learning algorithm with the Convolutional Neural Network method uses 2 1-dimensional convolution layers with ReL activation. The data used is the value of Open, High, Low and Close prices on forex, indices and commodities which are combined into one with the close forex value target for the next 5 days. Testing of EUR / USD test data only gets MSE results of 0.00081894. While the results of testing of the combined test data between EUR / USD, indices and commodities producing MSE vary between 0.00068717 to 0.0109606 where the best combination is a combination of FTSE 100 and Natural Gas values. So it can be concluded that other factors included in predicting have an influence on the results obtained.
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Sepsi, Barbara, and Veronika Fenyves. "Some thoughts on the repayment methods of Hungarian household forex loans." Applied Studies in Agribusiness and Commerce 8, no. 2-3 (September 30, 2014): 17–23. http://dx.doi.org/10.19041/apstract/2014/2-3/2.
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Nowadays the volatility of exchange rates and the macroeconomic changes strongly affect the monthly instalments of the debtors. The growth of delayed forex loans - mostly denominated in Swiss Franc and Euro - can include a high risk, which as a part of a vicious circle can ruin Hungary’s economic situation and even the country’s external judgement. Steps were taken to handle the problem of the forex loans but their result is questionable. In this paper different repayment methods are compared in different economic scenarios. More precisely, the third edition of exchange-rate barrier and income based repayment are analysed in an optimistic realistic and pessimistic scenario. This article is aiming to quantify and interpret the difference between each repayment methods regarding different scenarios. Based on the results suggestions are made how to eliminate efficiently currency exposure from the continuously deteriorating portfolio.
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Sikarwar, Ekta. "Forex interventions and exchange rate exposure: Evidence from emerging market firms." Economic Modelling 93 (December 2020): 69–81. http://dx.doi.org/10.1016/j.econmod.2020.07.010.
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Moses, Tule Kpughur, Oboh Ugbem Victor, Ebuh Godday Uwawunkonye, Onipede Samuel Fumilade, and Gbadebo Nathaniel. "Does Exchange Rate Volatility Affect Economic Growth in Nigeria?" International Journal of Economics and Finance 12, no. 7 (June 22, 2020): 54. http://dx.doi.org/10.5539/ijef.v12n7p54.
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This study used monthly data from 2003 to 2017 to analyze the effects of USD/NG₦ exchange-rate volatility on Nigeria’s economic growth. The results from generalized autoregressive conditional heteroscedasticity (GARCH) and vector error correction model (VECM) analyses indicated that USD/NG₦ volatility had a significant effect on the country’s gross domestic product (GDP) growth. The results of the Granger causality/block exogeneity Wald tests and impulse-response functions also indicated that USD/NG₦ volatility had a significant negative effect on the country’s GDP growth. Moreover, USD/NG₦ exchange-rate volatility was found to exhibit short-term unidirectional causality for economic growth. However, a bidirectional relationship was confirmed between narrow money supply and economic growth. Yet, it was also found that the interbank exchange rate, which is a semiofficial Forex window, had little effect on Nigeria’s economic growth—a strong indication that a large portion of the productive sector lacks access to this Forex platform.
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Sekhar, Bichith C., and A. Umamaheswari. "A Study On Technical Analysis With Reference To International Forex." Think India 22, no. 3 (September 27, 2019): 1129–44. http://dx.doi.org/10.26643/think-india.v22i3.8470.
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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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Fiqtyandi Alfath, Ridwan, and Winda Nur Cahyo. "Manajemen Risiko Dalam Bisnis Forex Dengan Metode House Of Risk." Jurnal Teknologi 14, no. 1 (June 2, 2021): 1–9. http://dx.doi.org/10.34151/jurtek.v14i1.3318.
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Tingginya minat dan ketertarikan masyarakat dunia terhadap dunia valuta asing atau forex (foreign exchange) meningkat cukup drastis dari tahun ke tahun. Dari data statistik yang diolah oleh BIS (Bank for International Settlement), yang mana menunjukkan data turnover foreign exchange market dari tahun 2001 yang hanya berkisar 1.239 billion menjadi 5.067 billion di tahun 2016. Oleh karena bisnis forex ini memiliki tingkat risiko yang cukup tinggi, serta tingginya minat masyarakat dunia akan bisnis ini, maka perlu dilakukan penelitian terkait cara pengelolaan risiko dan pengambilan keputusan dalam bisnis forex tersebut.. Penelitian ini dilakukan dengan menggunakan metode house of risk dalam identifikasi sumber risiko dan tindakan mitigasinya. House of risk terdiri dari 2 fase. Fase pertama yaitu identifikasi kejadian risiko dan agen risiko. Dari hasil wawancara, diskusi, dan brainstorming yang dilakukan, diperoleh hasil bahwa dalam bisnis forex terdapat 10 kejadian risiko dan 13 agen risiko yang teridentifikasi. Kemudian dari hasil pareto diagram diperoleh 5 agen risiko terpilih berdasarkan nilai ARP tertinggi dengan perbandingan 80:20 sehingga mitigasi yang dilakukan dapat lebih fokus. Pada house of risk fase 2, dilakukan diskusi dan wawancara dan diperoleh 13 preventive action (PA) sekaligus dengan derajat kesulitan pada masing-masing PA sebagai nilai input dalam tabel house of risk fase 2. Berdasarkan hasil nilai ETD (effectiveness to difficulty) dilakukan pengurutan dari ke 13 PA tersebut, dimana mitigasi memilih broker yang teregulasi oleh regulator resmi dan diakui dunia (PA1) menempati prioritas tindakan pencegahan pertama dengan nilai ETD 4212, diikuti oleh 12 tindakan pencegahan lainnya dengan urutan ETD terbesar sampai terkecil.
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Latif, Muhammad Nouman, Nasir Ali, and Anjum Shahzad. "Co-Movement of Forex Rate and Share Price of Pakistan Stock Exchange - An Application of Copula Models." Global Economics Review V, no. III (September 30, 2020): 78–87. http://dx.doi.org/10.31703/ger.2020(v-iii).08.
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This paper examines the relationship between the forex rate and the share price of the Pakistan Stock Exchange. The study provides additional understating of the complex nature of the relationship among bi-variate time series using the Copula model. Copula models are best suited to find the co-movement of time series data integrating the possible latent structure of the relationship through estimation of joint distribution with the help of marginal distribution of each time series variable. Alike from the traditional time series analysis, Copula models are best suited to estimate the complex relationship, specifically the tail dependence structure of joint distribution of the variables. Results of the study highlight a significant two-sided tail dependence structure between the Forex rate and share price of the Pakistan Stock Exchange.
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Esoimeme, Ehi Eric. "A critical analysis of the effects of the Central Bank of Nigeria foreign exchange policy on financial inclusion, anti-money laundering measures and fundamental rights." Journal of Money Laundering Control 20, no. 4 (October 2, 2017): 417–27. http://dx.doi.org/10.1108/jmlc-05-2016-0020.
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Purpose Following the drop in crude oil prices from a peak of US$114 per barrel in July 2014 to as low as US$33 per barrel in January 2016, the country’s reserves have suffered great pressure from speculative attacks, round tripping and front loading activities by actors in the foreign exchange (forex) market. The fall in oil prices also implied that the Central Bank of Nigeria’s (CBN) monthly foreign earnings had fallen from as high as US$3.2bn to current levels of as low as US$1bn. The net effect of these combined forces unfortunately is the depletion of the nation’s forex reserves. As of June 2014, the stock of forex reserves stood at about US$37.3bn but has declined to around US$28.0bn as of today. To avoid further depletion of reserves, the CBN adopted a number of policies including the prioritisation of the most critical needs for forex. This paper aims to critically analyse the effects of these policies on financial inclusion, anti-money laundering (AML) measures and human rights. Its aim is also to determine whether CBN’s Forex Policy does strike a fair balance between financial stability, inclusion, AML measures and human rights. Design/methodology/approach This paper relies mainly on primary and secondary data drawn from the public domain. It also relies on documentary research. Findings This paper determined that the CBN forex policy does not strike a fair balance between financial stability, inclusion, AML measures and human rights. Research limitations/implications This paper focuses on the effect of the most recent CBN Forex Policies on financial inclusion, AML measures and human rights. It does not address the older policies. Also, it does not address other vulnerable groups like low-income households. Its focus is on the under-served group. Originality/value While many have written papers on CBN’s forex policies, none of those papers critically analysed the effects of these policies on financial inclusion, AML and fundamental rights. The Lagos Chamber of Commerce and Industry, for example, analysed the impact of these polices on the financial services sector; the manufacturing sector; food and household products; tyre and rubber industry; pharmaceutical sector, oil and gas sector; free trade zone sector; furniture manufacturers; and foam manufacturers. It made no mention of inclusion, money laundering and fundamental rights. Also, Vincent Haruna analysed the effect of these policies on Nigerians, particularly those engaged in international trade, and those who have children studying abroad. He neither specifically addressed financial inclusion nor did he make any mention of human rights and money laundering.
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Islam, Md Saiful, Emam Hossain, Abdur Rahman, Mohammad Shahadat Hossain, and Karl Andersson. "A Review on Recent Advancements in FOREX Currency Prediction." Algorithms 13, no. 8 (July 30, 2020): 186. http://dx.doi.org/10.3390/a13080186.
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In recent years, the foreign exchange (FOREX) market has attracted quite a lot of scrutiny from researchers all over the world. Due to its vulnerable characteristics, different types of research have been conducted to accomplish the task of predicting future FOREX currency prices accurately. In this research, we present a comprehensive review of the recent advancements of FOREX currency prediction approaches. Besides, we provide some information about the FOREX market and cryptocurrency market. We wanted to analyze the most recent works in this field and therefore considered only those papers which were published from 2017 to 2019. We used a keyword-based searching technique to filter out popular and relevant research. Moreover, we have applied a selection algorithm to determine which papers to include in this review. Based on our selection criteria, we have reviewed 39 research articles that were published on “Elsevier”, “Springer”, and “IEEE Xplore” that predicted future FOREX prices within the stipulated time. Our research shows that in recent years, researchers have been interested mostly in neural networks models, pattern-based approaches, and optimization techniques. Our review also shows that many deep learning algorithms, such as gated recurrent unit (GRU) and long short term memory (LSTM), have been fully explored and show huge potential in time series prediction.
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Oyemade, D. A., and D. Allenotor. "FAITH Software Life Cycle Model for Forex Expert Advisors." advances in multidisciplinary & scientific research journal publication 9, no. 1 (January 30, 2021): 1–12. http://dx.doi.org/10.22624/aims/maths/v9n1p1.
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The emotional stress and uncertainties associated with foreign exchange (forex) trading due to the high risk of losing the investment capital has left most forex traders in a state of indecision on the best methodology to apply for achieving long term profit. The provision of lot sizes, leverages, take profits and stop losses in forex trading implies that very high profit can be made within a very short time with the same capital, but at the same time, very high losses can be incurred. On one hand, this provision often prompts a set of traders to become greedy by increasing their take profit levels, lot sizes and leverages, which in turn increases their probability of losing out. On the other hand, the provision creates doubts and induces the fear of losses in some other set of traders. Consequently, these set of conservative traders employ the use of relatively small lot sizes, low leverages and low values of take profit and high stop loss levels. This in turn often results in a devastating effect on the investment capital due to lost opportunities and resulting losses. The problem of losses in forex trading effort is compounded by the fact that many programmers and developers of forex expert advisors do not adopt a software life cycle, having learned only how to write codes to program the trading platform. Furthermore, software engineering professionals who understand the import of software development life cycles soon discover that conventional software life cycles are not capable of effectively handling the complexity of the forex market. This paper models the human characteristics of greed, fear and doubt as manifested by traders in forex trading using selected expert advisors’ properties. It proposes Facts, Analysis, Implementation, Testing and Hope (FAITH) software life cycle model for Forex trading profitability to tackle the problem of indecision in the development of forex expert advisors. The proposed model was implemented on a live trading platform for a period of three months and compared with doubt, fear and greed approach to trading. The results showed that while a level of greed can be profitable, FAITH software life cycle produced more profitable results and can be adopted for forex trading. Keywords: Software Development Life Cycle, Expert advisors, Forex Model, Losses, Profit
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Basanna, Prakash, and K. R. Pundareeka Vittala. "An Analysis of Foreign Exchange Risk Management: Techniques Employed in Indian Pharma Industry." Jindal Journal of Business Research 8, no. 1 (April 16, 2019): 92–107. http://dx.doi.org/10.1177/2278682119833193.
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Foreign exchange risk management (FERM) involves using both internal and external techniques such as forwards, futures, options, and swaps that are called as currency derivatives. The firms with greater growth opportunities and tighter financial constraints are more inclined to use currency derivatives. The Forex market provides various derivative instruments to hedge against currency exposures such as currency forwards, options, futures, and swaps. The current article aims at studying various FERM techniques used in the Indian pharmaceutical industry and its impact on exchange gain/losses. For this purpose, foreign exchange cash flows arising out of imports and exports and exchange gain/losses of the companies during 2010–2017 of 10 sample companies chosen from the pharma industry are used. It is observed from the study that only two currencies—USD and EUR—hold command in the forex market and other currencies are being used minimally. It is also noted that there are several currency derivatives available to the business firms such as forwards, futures, options, and swaps for hedging currency exposure. However, among all these techniques, forward contract is considered to be an effective hedging tool and easier to understand.
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Berganza, Juan Carlos, and Carmen Broto. "Flexible inflation targets, forex interventions and exchange rate volatility in emerging countries." Journal of International Money and Finance 31, no. 2 (March 2012): 428–44. http://dx.doi.org/10.1016/j.jimonfin.2011.12.002.
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Kočenda, Evžen, and Michala Moravcová. "Exchange rate comovements, hedging and volatility spillovers on new EU forex markets." Journal of International Financial Markets, Institutions and Money 58 (January 2019): 42–64. http://dx.doi.org/10.1016/j.intfin.2018.09.009.
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Agarwal, Dr Varsha. "Foreign Exchange Market and the Asset Approach." International Journal for Research in Applied Science and Engineering Technology 9, no. 9 (September 30, 2021): 351–56. http://dx.doi.org/10.22214/ijraset.2021.37956.
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Abstract: Exchange rates play a central role in international trade because they allow us to compare the prices of goods and services produced in different countries. A consumer deciding which of two American cars to buy must compare their dollar prices. Households and firms use exchange rates to translate foreign prices into domestic cur-rency terms. Once the money prices of domestic goods and imports have been expressed in terms of the same currency, households and firms can compute the relative prices that affect international trade flows. Keywords: Foreign Exchange, Exchange Rate, International Trade, Foreign Currency, FOREX Rate, Assets Approach.
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EVANS, Martin D. D. "Exchange Rates and Liquidity Risk." Journal of Advanced Studies in Finance 11, no. 2 (December 23, 2020): 159. http://dx.doi.org/10.14505//jasf.v11.2(22).08.
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I use Forex trading data to study how risks associated with the lack of liquidity contribute to the dynamics of 17 spot exchange rates through their time-varying contributions to risk premia. I find that liquidity risk matters. All the foreign exchange risk premia compensate investors for exposure to liquidity risk; and, for many currencies, exposure to liquidity risk appears to be more important than exposure to the traditional carry and momentum risk factors. I also find that variations in the price of liquidity risk make economically important contributions to the behavior of individual foreign currency returns: they account for approximately 34%, on average, of the variability in currency returns compared to the contribution of approximately 8% from the prices of carry and momentum risk.
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Reddy, Y. V., and A. Sebastin. "Interaction Between Forex and Stock Markets in India: An Entropy Approach." Vikalpa: The Journal for Decision Makers 33, no. 4 (October 2008): 27–46. http://dx.doi.org/10.1177/0256090920080403.
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Interactions between the foreign exchange market and the stock market of a country are considered to be an important internal force of the markets in a financially liberalized environment. If causal relationship from a market to the other is not detected, then informational efficiency exists in the other whereas existence of causality implies that hedging of exposure to one market by taking position in the other market will be effective. The temporal relationship between the forex market and the stock market of developing and developed countries has been studied, especially after the East Asian financial crisis of 1997–98, using various methods like cross-correlation, cross-spectrum, and error correction model, but these methods identify only linear relations. A statistically rigorous approach to the detection of interdependence, including non-linear dynamic relationships, between time series is provided by tools defined using the information theoretic concept of entropy. Entropy is the amount of disorder in the system and also is the amount of information needed to predict the next measurement with a certain precision. The mutual information between two random variables X and Y with a joint probability mass function p(x,y) and marginal mass functions p(x) and p(y), is defined as the relative entropy between the joint distribution p(x,y) and the product distribution p(x)*p(y). Mutual information is the reduction in the uncertainty of X due to the knowledge of Y and vice versa. Since mutual information measures the deviation from independence of the variables, it has been proposed as a tool to measure the relationship between financial market segments. However, mutual information is a symmetric measure and does not contain either dynamic information or directional sense. Even time delayed mutual information does not distinguish information actually exchanged from shared information due to a common input signal or history and therefore does not quantify the actual overlap of the information content of two variables. Another information theoretic measure called transfer entropy has been introduced by Thomas Schreiber (2000) to study the relationship between dynamic systems; the concept has also been applied by some authors to study the causal structure between financial time series. In this paper, an attempt has been made to study the interaction between the stock and the forex markets in India by computing transfer entropy between daily data series of the 50 stock index of the National Stock Exchange of India Limited, viz., Nifty and the exchange rate of Indian Rupee vis- à- vis US Dollar, viz., Reserve Bank of India reference rate. The entire period–November 1995 to March 2007–selected for the study, has been divided into three sub-periods for the purpose of analysis, considering the developments that took place during these sub-periods. The results obtained reveal that: there exist only low level interactions between the stock and the forex markets of India at a time scale of a day or less, although theory suggests interactive relationship between the two markets the flow from the stock market to the forex market is more pronounced than the flow in the reverse direction.
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Tarapore, S. S. "Exchange Rate Policy Reforms: Recent Initiatives." Vikalpa: The Journal for Decision Makers 23, no. 1 (January 1998): 23–26. http://dx.doi.org/10.1177/0256090919980104.
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As the world economy gets increasingly integrated, the management of exchange rate assumes a critical role in the country's macroeconomic policy. Tarapore argues that monetary authorities are duty bound to maintain a desired exchange rate through appropriate market intervention. The main problem in exchange rate management in India has been the appreciation of real effective exchange rate. According to Tarapore, in the absence of transparency in exchange rate management, the transmission of signals from the central bank to the forex market are muted and counter-productive. A more transparent exchange rate policy is more likely to generate greater confidence among the market participants and thereby minimize the need for frequent market intervention.
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Borochkin, A. A. "Investment portfolio Forex risk hedging in the international stock market." Finance and Credit 26, no. 3 (March 30, 2020): 644–72. http://dx.doi.org/10.24891/fc.26.3.644.
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Subject. Investment management on the international financial market necessitates a special approach to foreign currency hedging. The majority of international investors fully eliminate risk associated with their foreign-exchange holdings, seeking profits only from stock price differentials. In certain circumstances, a correlation between local currency exchange rate and local stock index may provide additional opportunities for profit generation. Objectives. The aim of the study is to test the hypothesis that partial currency risk-taking may reduce the total portfolio risk and increase return on international investment. Methods. I apply the global optimization approach to calculate investment portfolios for 11 countries of the world. Each portfolio includes shares of 20–25 highly capitalized companies. Descriptive statistic methods are used to check the input data, i.e. random variable calculation, pivot tables. Investment strategy efficiency is assessed based on the Sharpe Ratio, Sortino Ratio, Treynor Ratio and Omega Ratio. Results. Currency hedge position at the rate of about 14 percent of the total portfolio value may increase investment yield by two percentage points annually on the ten-year time span. Conclusions and Relevance. Total currency risk hedge is necessary for investment in developed and developing countries that pursue the policy of regular devaluation of their national currency. Market regulators inside a particular country should take into account that a sudden devaluation of national currency may be needed, if return on the stock market is lower than that of risk-free instruments.
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Aman Chugh, Renuka Sharma, and Kiran Mehta. "Forex Risk Management by SMEs and Unlisted Non-financial Firms: A Literature Survey." Journal of Technology Management for Growing Economies 8, no. 2 (October 23, 2017): 145–66. http://dx.doi.org/10.15415/jtmge.2017.82002.
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In the recent globalised financial markets, financial markets are more integrated which leads to more foreign exchange risk for firms. In such scenario currency derivatives are top most operational hedging strategy to manage foreign exchange risk. This scenario is different in developed and emerging markets as turnover of derivatives is growing swiftly in emerging markets and uses of currency derivatives is common but lower in comparison to the interest rate derivatives. In emerging markets (Hong Kong, Singapore and Brazil) use of currency derivatives is fifty per cent of total derivative traded follow by equity derivatives and interest rate derivatives (Mihaljek and Packer, 2010). The benefits of doing hedging have been discussed by many finance experts. These include classic contribution by Miller and Modigliani (1958) and then by Smith and Stulz (1985). Several studies have employed the questionnaire approach for the analysis of exchange-rate exposure management in non-financial firms (e.g. Bodnar and Gebhardt, 1999; Hakkarainen et al., 1998; Bodnar et al., 1998; Marshall, 2000; Ceuster et al., 2000; Mallin et al., 2001). The most refered study is Bodnar et al. (1998), which considered publicly traded U.S. firms. The present study examines the forex risk management by SMEs and unlisted non-financial forms in the form of literature review.
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Upadhyay, Srijan Kumar. "Ensemble Method for Forex Rate Prediction using OHLC Data." International Journal for Research in Applied Science and Engineering Technology 9, no. VI (June 20, 2021): 1635–42. http://dx.doi.org/10.22214/ijraset.2021.35328.
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Forex rate is a crucial indicator of the economic health of the country. Accurate prediction of forex rates thus becomes essential to take necessary steps to ensure the sound economic health of its citizens. Due to the chaotic and nonsta-tionary nature of the data, its prediction becomes a complicated task. Through the results obtained from various researches, it becomes evident that hybrid models have outperformed individual base learners in resembling the actual data generation process and forecasting future data. In this paper,an ensemble-based approach is adopted to enhance forecasting accuracy. The model is trained on the OHLC data (high, low, open, and close) of the previous day for enhanced exchange rate prediction of USD compared to different currencies. This paper applies a hybrid model of Convolution Neural Network ,Long Short Term Network and Support Vector Regression trained on the previous peak data. Results obtained after experiments indicate that a hybrid model improved the prediction accuracy when compared to individual models.
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Talebi, Hossein, Winsor Hoang, and Marina L. Gavrilova. "Multi-scale Foreign Exchange Rates Ensemble for Classification of Trends in Forex Market." Procedia Computer Science 29 (2014): 2065–75. http://dx.doi.org/10.1016/j.procs.2014.05.190.
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Gębarowski, Robert, Paweł Oświęcimka, Marcin Wątorek, and Stanisław Drożdż. "Detecting correlations and triangular arbitrage opportunities in the Forex by means of multifractal detrended cross-correlations analysis." Nonlinear Dynamics 98, no. 3 (November 2019): 2349–64. http://dx.doi.org/10.1007/s11071-019-05335-5.
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Abstract Multifractal detrended cross-correlation methodology is described and applied to Foreign exchange (Forex) market time series. Fluctuations of high-frequency exchange rates of eight major world currencies over 2010–2018 period are used to study cross-correlations. The study is motivated by fundamental questions in complex systems’ response to significant environmental changes and by potential applications in investment strategies, including detecting triangular arbitrage opportunities. Dominant multiscale cross-correlations between the exchange rates are found to typically occur at smaller fluctuation levels. However, hierarchical organization of ties expressed in terms of dendrograms, with a novel application of the multiscale cross-correlation coefficient, is more pronounced at large fluctuations. The cross-correlations are quantified to be stronger on average between those exchange rate pairs that are bound within triangular relations. Some pairs from outside triangular relations are, however, identified to be exceptionally strongly correlated as compared to the average strength of triangular correlations. This in particular applies to those exchange rates that involve Australian and New Zealand dollars and reflects their economic relations. Significant events with impact on the Forex are shown to induce triangular arbitrage opportunities which at the same time reduce cross-correlations on the smallest timescales and act destructively on the multiscale organization of correlations. In 2010–2018, such instances took place in connection with the Swiss National Bank intervention and the weakening of British pound sterling accompanying the initiation of Brexit procedure. The methodology could be applicable to temporal and multiscale pattern detection in any time series.