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Journal articles on the topic 'Forex markets'

Author: Grafiati

Published: 4 June 2021

Last updated: 6 February 2022

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1

Tsiaras, Konstantinos. "Contagion in Futures FOREX Markets for the Post- Global Financial Crisis: A Multivariate FIGARCHcDCC Approach." Journal of Quantitative Methods 4, no. 1 (February 28, 2020): 1. http://dx.doi.org/10.29145/2020/jqm/040102.

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This paper seeks to investigate the time-varying conditional correlations to the futures FOREX market returns. We employ a dynamic conditional correlation (DCC) Generalized ARCH (GARCH) model to find potential contagion effects among the markets. The under investigation period is 2014-2019. We focus on four major futures FOREX markets namely JPY/USD, KRW/USD, EUR/USD and INR/USD. The empirical results show an increase in conditional correlation or contagion for all the pairsof future FOREX markets. Based on the dynamic conditional correlations, KRW/USD seems to be the safest futures FOREX market. The results are of interest to policymakers who provide regulations for the futures FOREX markets. JEL Classification Codes: C58, C61, G11, G15

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2

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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3

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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4

Derrick, Simon, Neil Mellor, and Michael Woolfolk. "Global Markets 2006 Forex Outlook." Journal of Investing 15, no. 1 (February 28, 2006): 93–99. http://dx.doi.org/10.3905/joi.2006.616859.

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5

Kumar, Anoop S., Chaithanya Jayakumar, and Bandi Kamaiah. "Fractal market hypothesis: evidence for nine Asian forex markets." Indian Economic Review 52, no. 1-2 (December 2017): 181–92. http://dx.doi.org/10.1007/s41775-017-0014-7.

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6

Emilia Pascal, Carmen. "An Analysis of Romanian Capital, Forex and Monetary Markets: Volatilities and Contagion." INTERNATIONAL JOURNAL OF MANAGEMENT SCIENCE AND BUSINESS ADMINISTRATION 6, no. 6 (2020): 41–50. http://dx.doi.org/10.18775/ijmsba.1849-5664-5419.2014.66.1004.

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This paper focuses on stability relations for the Romanian main financial markets: capital, ForEx and monetary markets, as well as the intensity of the link between them and how they are interconnected, because this represents the best indicator of the situation of an economy, which is seen as a complex, adaptive and dynamic system, that is continuously changing. This analysis examines their deviation from the state of equilibrium, and what are the factors that modify this state. The study incorporates the markets evolution, their estimated volatilities, it shows that the most sensitive to the impact of a financial shock are the currency and the stock market. All the obtained results are correlated with events, news and market information from those particular moments to find explanations and understand the behavior of investors and how their decisions affected the market. Because of instability on some markets, investors started moving their finances to other markets, where they had more confidence, causing imbalances. Behavior of investors, as they react to the emergence of a shock, is decisive and extremely important in anticipating the effects that such a financial shock can produce. The values of the estimated volatilities were embedded into a volatility table to be easier to track their evolution over the period under review (2007 – 2018). Besides the financial crisis, there have been other events that have translated into a higher degree of volatility: raising the minimum wage, the Brexit, protests against corruption, the raise of salaries for the public workers which has created instability in the monetary market. The analysis continues with an estimate of a spillover index that only confirms the significant vulnerability period in the markets: 2010-2012, period during which the phenomenon of contagion may have occurred.

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7

Alanya, Willy, and Gabriel Rodríguez. "Asymmetries in Volatility: An Empirical Study for the Peruvian Stock and Forex Markets." Review of Pacific Basin Financial Markets and Policies 22, no. 01 (March 2019): 1950003. http://dx.doi.org/10.1142/s0219091519500036.

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Asymmetric autoregressive conditional heteroskedasticity (EGARCH) models and asymmetric stochastic volatility (ASV) models are applied to daily data of Peruvian stock and Forex markets for the period of 5 January 1998–30 December 2011. Following the approach developed in [Omori, Y, S Chib, N Shephard and J Nakajima (2007). Stochastic volatility with leverage: Fast likelihood inference. Journal of Econometrics, 140, 425–449], Bayesian estimation tools are used with Normal and [Formula: see text]-Student errors in both models. The results suggest the significant presence of asymmetric effects in both markets. In the stock market, negative shocks generate higher volatility than positive shocks. In the Forex market, shocks related to episodes of depreciation create higher uncertainty in comparison with episodes of appreciation. Thus, the Central Reserve Bank faces relatively major difficulties in its intention of smoothing Forex volatility in times of depreciation. The model with the best fit in both markets is the ASV model with Normal errors. The stock market returns have greater periods of volatility; however, both markets react to shocks in the economy, as they display similar patterns and have a significant correlation for the sample period studied.

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8

Caporale, Guglielmo Maria, and Alex Plastun. "IS THERE A FRIDAY EFFECT IN FINANCIAL MARKETS?" Journal of Prediction Markets 11, no. 2 (January 19, 2018): 38–59. http://dx.doi.org/10.5750/jpm.v11i2.1364.

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This paper tests for the presence of the Friday effect in various financial markets (stock markets, FOREX, and commodity markets) by using a number of statistical techniques (average analysis, parametric tests such as Student's t-test and ANOVA analysis, non-parametric ones such as the Kruskal-Wallis test, regression analysis with dummy variables). The evidence suggests that stock markets are immune to Friday effects, whilst in the FOREX Fridays exhibit higher volatility, and in the Gold market returns are higher on this day of the week. Using a trading robot approach we show that the latter anomaly can be exploited to make abnormal profits.

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9

Meng, Terry Lingze, and Matloob Khushi. "Reinforcement Learning in Financial Markets." Data 4, no. 3 (July 28, 2019): 110. http://dx.doi.org/10.3390/data4030110.

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Recently there has been an exponential increase in the use of artificial intelligence for trading in financial markets such as stock and forex. Reinforcement learning has become of particular interest to financial traders ever since the program AlphaGo defeated the strongest human contemporary Go board game player Lee Sedol in 2016. We systematically reviewed all recent stock/forex prediction or trading articles that used reinforcement learning as their primary machine learning method. All reviewed articles had some unrealistic assumptions such as no transaction costs, no liquidity issues and no bid or ask spread issues. Transaction costs had significant impacts on the profitability of the reinforcement learning algorithms compared with the baseline algorithms tested. Despite showing statistically significant profitability when reinforcement learning was used in comparison with baseline models in many studies, some showed no meaningful level of profitability, in particular with large changes in the price pattern between the system training and testing data. Furthermore, few performance comparisons between reinforcement learning and other sophisticated machine/deep learning models were provided. The impact of transaction costs, including the bid/ask spread on profitability has also been assessed. In conclusion, reinforcement learning in stock/forex trading is still in its early development and further research is needed to make it a reliable method in this domain.

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10

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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11

Ramasastri, A. S., D. Malathy, and L. V. L. N. Sarma. "Market efficiency in the Indian Stock, Forex and Call Money Markets: A Comparison." Review of Development and Change 8, no. 1 (June 2003): 25–40. http://dx.doi.org/10.1177/0972266120030102.

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12

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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13

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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14

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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15

Arfaoui, Mongi, and Aymen Ben Rejeb. "Return Dynamics and Volatility Spillovers Between FOREX and Stock Markets in MENA Countries: What to Remember for Portfolio Choice?" International Journal of Management and Economics 46, no. 1 (June 1, 2015): 72–100. http://dx.doi.org/10.1515/ijme-2015-0022.

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Abstract This article investigates the interdependence of stock-forex markets in MENA (Middle East and North Africa) countries for the February 26, 1999 to June 30, 2014 period. The analysis has been performed through three competing models: the VAR-CCC-GARCH model of Bollerslev [1990]; the VAR-BEKK-GARCH model of Engle and Kroner [1995]; and the VAR-DCC-GARCH model of Engle [2002]. Our findings confirm that both markets are interdependent and corroborate the stock and flow oriented approaches. We also find that, comparing to optimal weights, hedge ratios are typically low, denoting that hedging efficiency is quite good. Our estimation of hedging efficiency suggests that incorporating foreign exchange in a full stock, unhedged portfolio increases the risk-adjusted return while reducing its variance. (We note here that the forex market is overweighted for both portfolio allocations and hedging strategies.) Moreover, this conclusion holds for all countries in all three models.

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16

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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17

Moravcová, Michala. "The Impact of German Macroeconomic News on Emerging European Forex Markets." Prague Economic Papers 27, no. 5 (October 1, 2018): 505–21. http://dx.doi.org/10.18267/j.pep.670.

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18

Akram, Mohammad Uzair, Kashif Zaheer Malik, Ali Imtiaz, Ammar Aftab, and Maggie Chen. "Forex and financial markets dynamics: A case of China and ASEAN." Cogent Economics & Finance 8, no. 1 (January 1, 2020): 1756144. http://dx.doi.org/10.1080/23322039.2020.1756144.

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19

Mele, Marco. "A Logical Process about the Chaos in FOREX Financial Market." Asian Journal of Finance & Accounting 9, no. 1 (February 25, 2017): 105. http://dx.doi.org/10.5296/ajfa.v9i1.10343.

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Foreign exchange market has been subject of studies and discussions for many years. They were created modern theories and models to understand and predict the evolution of the price of money, and embarked on new discussions and new frontiers of study.In this paper we test the hypothesis of non-linearity and behavior chaotic the latest developments of the markets, to arrive at a solid and unambiguous conclusion on this type of dynamic systems analyzed. In particular, we introduce mathematical concepts and to study the properties of chaotic dynamics and non-linear in nature. It will delve into topics not therefore always present in economics courses in order to base the tests carried out on solid considerations from the point of view of formal mathematical. It will be followed, finally, a scientific rigor during the course of the analysis in order to give an interpretation of the results of logistic type can lead to scientific considerations different from econometric modeling.

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20

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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21

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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22

Haouas, Nabiha. "Multifractal Analysis of the Foreign Exchange Markets Application to MENA Countries." Accounting and Finance Research 10, no. 2 (April 19, 2021): 17. http://dx.doi.org/10.5430/afr.v10n2p17.

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The present study focus on the multifractal analysis of the exchange rate for Middle East North Africa (MENA) region from January 1999 to May 2017. The purpose of this paper is to examine the behavior of currency markets and to verify the efficiency hypothesis of FOREX market for these countries. We first estimate the scaling function to detect the multifractal character of each series and then the Hölder exponent, using the Generalized Quadratic Variation (GQV) method, as a function of time H(t). We conclude that there's a multifractal character for all these countries with a difference in the degree of persistence of each market.

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23

Gözgör, Kutay. "The Way to Regulation in FOREX Markets: A New Institutional Economics Approach." Ekonomik Yaklasim 29, no. 107 (2018): 23. http://dx.doi.org/10.5455/ey.11274.

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24

Bouyé, Eric, and Mark Salmon. "Dynamic copula quantile regressions and tail area dynamic dependence in Forex markets." European Journal of Finance 15, no. 7-8 (December 2009): 721–50. http://dx.doi.org/10.1080/13518470902853491.

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25

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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Rutkauskas, Aleksandras Vytautas, Algita Miečinskienė, and Viktorija Stasytytė. "INVESTMENT DECISIONS MODELLING ALONG SUSTAINABLE DEVELOPMENT CONCEPT ON FINANCIAL MARKETS / INVESTICINIŲ SPRENDIMŲ MODELIAVIMAS VARTOJANT TVARIOSIOS PLĖTROS SĄVOKĄ FINANSŲ RINKOSE." Technological and Economic Development of Economy 14, no. 3 (September 30, 2008): 417–27. http://dx.doi.org/10.3846/1392-8619.2008.14.417-427.

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The goal of the paper is development of the conception of sustainable return investment decisions strategy in capital and money markets and modeling of investment decisions along sustainable development concept in capital and money markets. The research was performed with an experiment in FOREX and in some matured and emerging capital markets. The adequate for investments decisions reliability assessment portfolio will be presented and analysed as main instrument for developing sustainable return investment decisions strategy. The cases of practical implementation of adequate portfolio will be widely described. Further, the pragmatical problems how to use the strategy as innovative and effective financial instrument for investors and stock treasury will be discussed. Practical calculation was made on the very last data of different markets. Santrauka The goal of the paper is development of the conception of sustainable return investment decisions strategy in capital and money markets and modeling of investment decisions along sustainable development concept in capital and money markets. The research was performed with an experiment in FOREX and in some matured and emerging capital markets. The adequate for investments decisions reliability assessment portfolio will be presented and analysed as main instrument for developing sustainable return investment decisions strategy. The cases of practical implementation of adequate portfolio will be widely described. Further, the pragmatical problems how to use the strategy as innovative and effective financial instrument for investors and stock treasury will be discussed. Practical calculation was made on the very last data of different markets.

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27

Orquín-Serrano, Ismael. "Predictive Power of Adaptive Candlestick Patterns in Forex Market. Eurusd Case." Mathematics 8, no. 5 (May 14, 2020): 802. http://dx.doi.org/10.3390/math8050802.

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The Efficient Market Hypothesis (EMH) states that all available information is immediately reflected in the price of any asset or financial instrument, so that it is impossible to predict its future values, making it follow a pure stochastic process. Among all financial markets, FOREX is usually addressed as one of the most efficient. This paper tests the efficiency of the EURUSD pair taking only into consideration the price itself. A novel categorical classification, based on adaptive criteria, of all possible single candlestick patterns is presented. The predictive power of candlestick patterns is evaluated from a statistical inference approach, where the mean of the average returns of the strategies in out-of-sample historical data is taken as sample statistic. No net positive average returns are found in any case after taking into account transaction costs. More complex candlestick patterns are considered feeding supervised learning systems with the information of past bars. No edge is found even in the case of considering the information of up to 24 preceding candlesticks.

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28

Sazuka, Naoya, Jun-ichi Inoue, and Enrico Scalas. "The distribution of first-passage times and durations in FOREX and future markets." Physica A: Statistical Mechanics and its Applications 388, no. 14 (July 2009): 2839–53. http://dx.doi.org/10.1016/j.physa.2009.03.027.

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29

Kočenda, Evžen, and Michala Moravcová. "Intraday effect of news on emerging European forex markets: An event study analysis." Economic Systems 42, no. 4 (December 2018): 597–615. http://dx.doi.org/10.1016/j.ecosys.2018.05.003.

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30

Tsiaras, Konstantinos, and Theodore Simos. "FOREX and equity markets spillover effects among USA, Brazil, Italy, Germany and Canada in the aftermath of the Global Financial Crisis." Journal of Finance and Accounting Research 2, no. 1 (February 28, 2020): 1. http://dx.doi.org/10.32350/jfar/0201/03.

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In this paper, we investigate the spillover effects of forex and equity markets in USA, Brazil, Italy, Germany, and Canada using daily data. Using AR-dialog BEKR model we tested for the contagion & co-movement effect in equity markets during the post financial crises period of 2010-2018. The estimated dynamic conditional correlations show the strongest contagion effects for the pairs of markets as follows: S&P500-BOVESPA, S&P500-FTSEMIB, S&P500-DAX30 and S&P500-S&PTSX. For institutions, multinational corporations, and active investors, a portfolio consisting of financial assets from the above markets is extremely risky.

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Xiao, Hui, and Yiguo Sun. "Forecasting the Returns of Cryptocurrency: A Model Averaging Approach." Journal of Risk and Financial Management 13, no. 11 (November 13, 2020): 278. http://dx.doi.org/10.3390/jrfm13110278.

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This paper aims to enrich the understanding and modelling strategies for cryptocurrency markets by investigating major cryptocurrencies’ returns determinants and forecast their returns. To handle model uncertainty when modelling cryptocurrencies, we conduct model selection for an autoregressive distributed lag (ARDL) model using several popular penalized least squares estimators to explain the cryptocurrencies’ returns. We further introduce a novel model averaging approach or the shrinkage Mallows model averaging (SMMA) estimator for forecasting. First, we find that the returns for most cryptocurrencies are sensitive to volatilities from major financial markets. The returns are also prone to the changes in gold prices and the Forex market’s current and lagged information. Then, when forecasting cryptocurrencies’ returns, we further find that an ARDL(p,q) model estimated by the SMMA estimator outperforms the competing estimators and models out-of-sample.

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Égert, Balázs, and Evžen Kočenda. "The impact of macro news and central bank communication on emerging European forex markets." Economic Systems 38, no. 1 (March 2014): 73–88. http://dx.doi.org/10.1016/j.ecosys.2013.01.004.

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Tsiaras, Konstantinos. "Financial Contagion and Volatility Spillover: an exploration into Bitcoin Future and FOREX Future Markets." Journal of Economics 6, no. 1 (2021): 1–12. http://dx.doi.org/10.46763/joe216.1001t.

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Petrov, Vladimir, Anton Golub, and Richard Olsen. "Instantaneous Volatility Seasonality of High-Frequency Markets in Directional-Change Intrinsic Time." Journal of Risk and Financial Management 12, no. 2 (April 1, 2019): 54. http://dx.doi.org/10.3390/jrfm12020054.

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We propose a novel intraday instantaneous volatility measure which utilises sequences of drawdowns and drawups non-equidistantly spaced in physical time as indicators of high-frequency activity of financial markets. The sequences are re-expressed in terms of directional-change intrinsic time which ticks only when the price curve changes the direction of its trend by a given relative value. We employ the proposed measure to uncover weekly volatility seasonality patterns of three Forex and one Bitcoin exchange rates, as well as a stock market index. We demonstrate the long memory of instantaneous volatility computed in directional-change intrinsic time. The provided volatility estimation method can be adapted as a universal multiscale risk-management tool independent of the discreteness and the type of analysed high-frequency data.

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Nikolova, Venelina, Juan E. Trinidad Segovia, Manuel Fernández-Martínez, and Miguel Angel Sánchez-Granero. "A Novel Methodology to Calculate the Probability of Volatility Clusters in Financial Series: An Application to Cryptocurrency Markets." Mathematics 8, no. 8 (July 24, 2020): 1216. http://dx.doi.org/10.3390/math8081216.

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One of the main characteristics of cryptocurrencies is the high volatility of their exchange rates. In a previous work, the authors found that a process with volatility clusters displays a volatility series with a high Hurst exponent. In this paper, we provide a novel methodology to calculate the probability of volatility clusters with a special emphasis on cryptocurrencies. With this aim, we calculate the Hurst exponent of a volatility series by means of the FD4 approach. An explicit criterion to computationally determine whether there exist volatility clusters of a fixed size is described. We found that the probabilities of volatility clusters of an index (S&P500) and a stock (Apple) showed a similar profile, whereas the probability of volatility clusters of a forex pair (Euro/USD) became quite lower. On the other hand, a similar profile appeared for Bitcoin/USD, Ethereum/USD, and Ripple/USD cryptocurrencies, with the probabilities of volatility clusters of all such cryptocurrencies being much greater than the ones of the three traditional assets. Our results suggest that the volatility in cryptocurrencies changes faster than in traditional assets, and much faster than in forex pairs.

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Ingalhalli, Varsha, Poornima B. G., and Y. V. Reddy. "A Study on Dynamic Relationship Between Oil, Gold, Forex and Stock Markets in Indian Context." Paradigm 20, no. 1 (April 26, 2016): 83–91. http://dx.doi.org/10.1177/0971890716637706.

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Chihab, Younes, Zineb Bousbaa, Marouane Chihab, Omar Bencharef, and Soumia Ziti. "Algo-Trading Strategy for Intraweek Foreign Exchange Speculation Based on Random Forest and Probit Regression." Applied Computational Intelligence and Soft Computing 2019 (August 27, 2019): 1–13. http://dx.doi.org/10.1155/2019/8342461.

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In the Forex market, the price of the currencies increases and decreases rapidly based on many economic and political factors such as commercial balance, the growth index, the inflation rate, and the employment indicators. Having a good strategy to buy and sell can make a profit from the above changes. A successful strategy in Forex should take into consideration the relation between benefits and risks. In this work, we propose an intraweek foreign exchange speculation strategy for currency markets based on a combination of technical indicators. This system has a two-level decision and is composed of the Probit regression model and rules discovery using Random Forest. There are two minimum requirements for a trading strategy: a rule to enter the market and a rule to exit it. Our proposed system, to enter the currency market, should validate two conditions. First, it should validate Random Forest access rules over the following week while in the second one the predicted value of the next day using Probit should be positive. To exit the currency market just one negative warning from Probit or Random Forest is enough. This system was used to develop dynamic portfolio trading systems. The profitability of the model was examined for USD/(EUR, JYN, BRP) variation within the period from January 2014 to January 2016. The proposed system allows improving the prediction accuracy. This indicates a good prediction of the behavior market and it helps to identify the good times to enter it or to leave it.

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Rama, Arlind, and Ilir Vika. "Real Time Data." European Journal of Economics and Business Studies 4, no. 3 (November 29, 2018): 147. http://dx.doi.org/10.26417/ejes.v4i3.p147-154.

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Interpretation of exchange rate volatility in the light of economic fundamentals comprises an issue of interest for policymakers when it comes to implementing the monetary policy. Understanding the impact of economic news on the Lek exchange rate against two main hard currencies, Euro and US dollar, would serve to better orient the monetary policy and forex market agents positioning in time. Exchange rates volatility on economic news in short-term is an often discussed phenomenon in the economic literature, but through this material we tend to measure these effects in the Albanian foreign currency market and contribute in the literature interpreting foreign currency markets volatility in developing economies. Very often, domestic foreign exchange movements are attributed to developments in large international markets. In the case of Albanian Lek volatility analysis, we tend to find answers regarding the importance of economic news coming from the two main economies in focus, Eurozone and the US. Furthermore, we investigate the importance of the economic information flow in Albania in determining the Lek exchange rate against Euro and US dollar. For a period in focus from January 2007 until July 2012, we try to understand if the exchange rate volatility has been a result of economic fundamentals or financial markets stress related economic news.

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Ahmad, Afzal. "European Sovereign Debt Crisis and its Impact on Financial Markets and Institutions." American Journal of Trade and Policy 2, no. 3 (December 31, 2015): 113–20. http://dx.doi.org/10.18034/ajtp.v2i3.391.

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This paper examines the European sovereign debt crisis that began in 2009; it mostly considers Greece and then Italy and Portugal since they were affected by the crisis. It gives the emergence and the causes of the crisis as well as its effect on their debt as a percentage to Gross Domestic Product and their Real Gross Domestic Product. It also analyses the impact on sovereign bond and its yields, the stock, gold, derivatives and forex markets, including the impact on financial institutions, it uses graphical illustrations from Bloomberg to back the analysis. It further assesses the measures taken so far by policy makers and financial institutions to curb the situation. It finally considers the impact of the crisis on financial landscape and lessons learnt from it.

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Jubert de Almeida, Bernardo, Rui Ferreira Neves, and Nuno Horta. "Combining Support Vector Machine with Genetic Algorithms to optimize investments in Forex markets with high leverage." Applied Soft Computing 64 (March 2018): 596–613. http://dx.doi.org/10.1016/j.asoc.2017.12.047.

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Alam, Md Samsul, Syed Jawad Hussain Shahzad, and Román Ferrer. "Causal flows between oil and forex markets using high-frequency data: Asymmetries from good and bad volatility." Energy Economics 84 (October 2019): 104513. http://dx.doi.org/10.1016/j.eneco.2019.104513.

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Sadeghi, Alireza, Amir Daneshvar, and Mahdi Madanchi Zaj. "Combined ensemble multi-class SVM and fuzzy NSGA-II for trend forecasting and trading in Forex markets." Expert Systems with Applications 185 (December 2021): 115566. http://dx.doi.org/10.1016/j.eswa.2021.115566.

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Shahzad, Syed Jawad Hussain, Jose Areola Hernandez, Waqas Hanif, and Ghulam Mujtaba Kayani. "Intraday return inefficiency and long memory in the volatilities of forex markets and the role of trading volume." Physica A: Statistical Mechanics and its Applications 506 (September 2018): 433–50. http://dx.doi.org/10.1016/j.physa.2018.04.016.

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Chang, Winston W. "Inner Workings of the Chinese Economy and the US–China Trade War." Review of Pacific Basin Financial Markets and Policies 23, no. 02 (June 2020): 2050016. http://dx.doi.org/10.1142/s0219091520500162.

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China has been touted as a unique success story in development economics. The world financial crisis of 2007–2010 impacted China severely. Its GDP growth slowed, corporate debts piled up, equity markets became volatile, the renminbi weakened, and its forex reserves shrank in the face of capital flight. This paper analyzes the policymakers’ approaches in coping with the recent external shocks to the economy noted for having rigid economic structures (such as the trilemma problem and privatization issues). It discusses the tough balancing act facing the policymakers and the various reform options, including capital flow liberalization and structural reform. Finally, the paper discusses the US–China trade war.

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Rafikov, Ildus, and Buerhan Saiti. "An analysis of financial speculation: from the Maqasid Al-Shari’ah perspective." Humanomics 33, no. 1 (February 13, 2017): 2–14. http://dx.doi.org/10.1108/h-10-2016-0077.

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Purpose This paper aims to discuss the topic of financial speculation with special reference to forex and offers an analysis from the Maqasid Al-Shari’ah perspective, whereby authors propose to limit the outreach of speculative instruments in the financial markets. Design/methodology/approach The authors will make use of a simple textual analysis of existing materials and documents. To come up with conclusions, relevant to this study and to make them credible enough, the authors will undertake to review the existing literature in the next part of the paper and will later present his analysis of findings in light of financial crises and the objectives of Shari’ah. Findings The Maqasid Al-Shari’ah approach used in the analysis suggests that speculative financial instruments do not constitute a necessity, and their harmful practice must be limited to protect the religion, life, lineage, intellect and property. Originality/value Financial speculation in general and foreign exchange in particular must be regulated. Their current practices of financial system pose significant challenges for entire economies as well as individuals. Muslims should also avoid speculative financial instruments, such as forex, because they are a clear threat to individual and state wealth and prosperity. In addition, they threaten traditional businesses and social norms in Muslim societies.

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Vezeris, Dimitrios, Ioannis Karkanis, and Themistoklis Kyrgos. "AdTurtle: An Advanced Turtle Trading System." Journal of Risk and Financial Management 12, no. 2 (June 8, 2019): 96. http://dx.doi.org/10.3390/jrfm12020096.

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For this research, we implemented a trading system based on the Turtle rules and examined its efficiency when trading selected assets from the Forex, Metals, Commodities, Energy and Cryptocurrency Markets using historical data. Afterwards, we enhanced our Turtle-based trading system with additional conditions for opening a new position. Specifically, we added an exclusion zone based on the ATR indicator, in order to have controlled conditions for opening a new position after a stop loss signal was triggered. Thus, AdTurtle was developed, a Turtle trading system with advanced algorithms of opening and closing positions. To the best of our knowledge, for the first time this variation of the Turtle trading system has been developed and examined.

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Kumar, Satish, and Rajesh Pathak. "Do the calendar anomalies still exist? Evidence from Indian currency market." Managerial Finance 42, no. 2 (February 8, 2016): 136–50. http://dx.doi.org/10.1108/mf-05-2015-0146.

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Purpose – The purpose of this paper is to examine the presence of the day-of-the-week (DOW) and January effect in the Indian currency market for selected currency pairs; USD-(Indian rupee) INR, EUR-INR, GBP-INR and JPY-INR, from January, 1999 to December, 2014. Design/methodology/approach – Ordinary least square regression analysis is used to examine the presence of DOW and January effect to test the efficiency of the Indian currency market. The sample period is later divided into two sub-periods, that is, pre- and post-2008 to capture the behavior of returns before and after the 2008 financial crisis. Further, the authors also use the non-parametric technique, the Kruskal-Wallis test, to provide robustness check for the results. Findings – The results indicate that the returns during Monday to Wednesday are positive and higher than the returns on Thursday and Friday which show negative returns. The returns during January are found to be higher than the returns during rest of the year. Further, all currencies exhibit significant DOW and January effects in pre-crisis period, however, post-crisis; these effects disappear for all currencies indicating that the markets have become more efficient in the later time. The findings can be further attributed to the increased intervention in the forex markets by the Reserve Bank of India after the crisis. Practical implications – The results have important implications for both traders and investors. The findings suggest that the investors might not be able to earn excess profits by timing their positions in some particular currencies taking the advantage of DOW or January effect which in turn indicates that the currency markets have become more efficient with time. The results are in conformity with those reported for the developed markets. The results might be appealing to the practitioners as well in a way that they can consider the state of financial market for financial decision making. Originality/value – The authors provide the first study to examine the calendar anomalies (DOW and January effect) across a range of emerging currencies using 16 years of data from January, 1999 to December, 2014. To the best of the authors’ knowledge, no study has yet examined these calendar anomalies in the currency markets using data which covers two important periods, pre-2008 and post-2008.

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Rodríguez, Gabriel. "Modeling Latin-American stock and Forex markets volatility: Empirical application of a model with random level shifts and genuine long memory." North American Journal of Economics and Finance 42 (November 2017): 393–420. http://dx.doi.org/10.1016/j.najef.2017.07.016.

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Rundo, Trenta, di Stallo, and Battiato. "Grid Trading System Robot (GTSbot): A Novel Mathematical Algorithm for trading FX Market." Applied Sciences 9, no. 9 (April 29, 2019): 1796. http://dx.doi.org/10.3390/app9091796.

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Grid algorithmic trading has become quite popular among traders because it shows several advantages with respect to similar approaches. Basically, a grid trading strategy is a method that seeks to make profit on the market movements of the underlying financial instrument by positioning buy and sell orders properly time-spaced (grid distance). The main advantage of the grid trading strategy is the financial sustainability of the algorithm because it provides a robust way to mediate losses in financial transactions even though this also means very complicated trades management algorithm. For these reasons, grid trading is certainly one of the best approaches to be used in high frequency trading (HFT) strategies. Due to the high level of unpredictability of the financial markets, many investment funds and institutional traders are opting for the HFT (high frequency trading) systems, which allow them to obtain high performance due to the large number of financial transactions executed in the short-term timeframe. The combination of HFT strategies with the use of machine learning methods for the financial time series forecast, has significantly improved the capability and overall performance of the modern automated trading systems. Taking this into account, the authors propose an automatic HFT grid trading system that operates in the FOREX (foreign exchange) market. The performance of the proposed algorithm together with the reduced drawdown confirmed the effectiveness and robustness of the proposed approach.

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Rundo, Francesco. "Deep LSTM with Reinforcement Learning Layer for Financial Trend Prediction in FX High Frequency Trading Systems." Applied Sciences 9, no. 20 (October 21, 2019): 4460. http://dx.doi.org/10.3390/app9204460.

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High-frequency trading is a method of intervention on the financial markets that uses sophisticated software tools, and sometimes also hardware, with which to implement high-frequency negotiations, guided by mathematical algorithms, that act on markets for shares, options, bonds, derivative instruments, commodities, and so on. HFT strategies have reached considerable volumes of commercial traffic, so much so that it is estimated that they are responsible for most of the transaction traffic of some stock exchanges, with percentages that, in some cases, exceed 70% of the total. One of the main issues of the HFT systems is the prediction of the medium-short term trend. For this reason, many algorithms have been proposed in literature. The author proposes in this work the use of an algorithm based both on supervised Deep Learning and on a Reinforcement Learning algorithm for forecasting the short-term trend in the currency FOREX (FOReign EXchange) market to maximize the return on investment in an HFT algorithm. With an average accuracy of about 85%, the proposed algorithm is able to predict the medium-short term trend of a currency cross based on the historical trend of this and by means of correlation data with other currency crosses using techniques known in the financial field with the term arbitrage. The final part of the proposed pipeline includes a grid trading engine which, based on the aforementioned trend predictions, will perform high frequency operations in order to maximize profit and minimize drawdown. The trading system has been validated over several financial years and on the EUR/USD cross confirming the high performance in terms of Return of Investment (98.23%) in addition to a reduced drawdown (15.97 %) which confirms its financial sustainability.

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