Foreign Exchange Rates Forecasting with Convolutional Neural Network
Sign Up to like & getrecommendations! Published in 2017 at "Neural Processing Letters"
DOI: 10.1007/s11063-017-9629-z
Abstract: In this paper, we introduce a model based on Convolutional Neural Network for forecasting foreign exchange rates. Additionally, a method of transforming exchange rates data from 1D structure to 2D structure is proposed. The transaction… read more here.
Keywords: foreign exchange; convolutional neural; exchange rates; exchange ... See more keywords
Informativeness of trade size in foreign exchange markets
Sign Up to like & getrecommendations! Published in 2017 at "Economics Letters"
DOI: 10.1016/j.econlet.2016.11.010
Abstract: This article investigates a trading strategy that relies on private information in an electronic spot foreign exchange market. In a structural microstructure model extended for high-frequency data, our analysis links the informational content of trading… read more here.
Keywords: trade size; foreign exchange; informativeness trade; size foreign ... See more keywords
The January effect in the foreign exchange market: Evidence for seasonal equity carry trades
Sign Up to like & getrecommendations! Published in 2019 at "Economic Modelling"
DOI: 10.1016/j.econmod.2019.07.021
Abstract: Abstract In this study, we investigate monthly seasonality in the foreign exchange market. Given the well-known recurrent higher returns in some month than in others in stock markets around the world, we consider it likely… read more here.
Keywords: exchange; foreign exchange; january effect; exchange market ... See more keywords
A stopping time approach to assessing the effectiveness of foreign exchange intervention: An application to Japanese data
Sign Up to like & getrecommendations! Published in 2017 at "Journal of International Money and Finance"
DOI: 10.1016/j.jimonfin.2017.04.005
Abstract: I propose a new methodology to assess the effect of foreign exchange (FX) intervention, based on the probability of an FX rate reaching. The variable is the probability of an FX rate reaching a particular… read more here.
Keywords: intervention; foreign exchange; probability; exchange intervention ... See more keywords
The response of multinationals’ foreign exchange rate exposure to macroeconomic news
Sign Up to like & getrecommendations! Published in 2019 at "Journal of International Money and Finance"
DOI: 10.1016/j.jimonfin.2019.01.009
Abstract: We use intraday data to estimate the daily foreign exchange exposure of U.S. multinationals and show that macroeconomic news affects these firms’ foreign exchange exposure. News creates a substantial shift in the joint distribution of… read more here.
Keywords: exchange; foreign exchange; macroeconomic news; exchange rate ... See more keywords
Capital controls and foreign exchange market intervention
Sign Up to like & getrecommendations! Published in 2020 at "Journal of International Money and Finance"
DOI: 10.1016/j.jimonfin.2019.102098
Abstract: High level of capital controls and volatile exchange rates in developing countries are considered suboptimal in classical trilemma frameworks. The paper presents a New Keynesian small open economy model that assesses middle-ground policies, such as… read more here.
Keywords: foreign exchange; controls foreign; capital controls; exchange ... See more keywords
Correlation patterns in foreign exchange markets
Sign Up to like & getrecommendations! Published in 2019 at "Physica A: Statistical Mechanics and its Applications"
DOI: 10.1016/j.physa.2019.04.044
Abstract: The value of an asset in a financial market is given in terms of another asset known as numeraire. The dynamics of the value is non-stationary and hence, to quantify the relationships between different assets,… read more here.
Keywords: correlation patterns; exchange markets; foreign exchange; exchange ... See more keywords
Do crude oil prices and the sentiment index influence foreign exchange rates differently in oil-importing and oil-exporting countries? A dynamic connectedness analysis
Sign Up to like & getrecommendations! Published in 2021 at "Resources Policy"
DOI: 10.1016/j.resourpol.2021.102400
Abstract: With growing interest in the spillover effects of returns and volatility in the cross-market between the crude oil market and the foreign exchange market, alongside the rapid development in the social network, we are also… read more here.
Keywords: foreign exchange; oil importing; exchange rates; crude oil ... See more keywords
The Effects of Fair Value Reporting on Corporate Foreign Exchange Exposures
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DOI: 10.1016/j.ribaf.2016.07.037
Abstract: We analyze the effects of fair value reporting standards (FVR) SFAS 133 and IAS 39 on foreign exchange (FX) exposures of U.S. multinational firms. We observe reductions in FX exposures to developed market currencies that… read more here.
Keywords: fair value; foreign exchange; value reporting; effects fair ... See more keywords
High-Frequency Trading, Liquidity Withdrawal, and the Breakdown of Conventions in Foreign Exchange Markets
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DOI: 10.1080/00213624.2018.1469883
Abstract: Abstract: Conventions, or “that the existing state of affairs will continue indefinitely, except in so far as we have specific reasons to expect a change” (Keynes 1936), play a central role in over-the-counter markets. For… read more here.
Keywords: frequency trading; liquidity; high frequency; foreign exchange ... See more keywords
Extracting shadow exchange rates and foreign exchange premia during currency crises: an example from Egypt
Sign Up to like & getrecommendations! Published in 2019 at "Applied Economics Letters"
DOI: 10.1080/13504851.2018.1433291
Abstract: ABSTRACT We utilize high-frequency data and a novel synchronous trade-matching algorithm to show that shadow exchange rates could be estimated from price spreads between depositary receipts and their underlying local stocks using an example of… read more here.
Keywords: foreign exchange; currency; shadow exchange; example ... See more keywords