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The Efficiency Of Foreign Exchange Markets
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Book Synopsis Fractal Market Analysis by : Edgar E. Peters
Download or read book Fractal Market Analysis written by Edgar E. Peters and published by John Wiley & Sons. This book was released on 1994-02-08 with total page 352 pages. Available in PDF, EPUB and Kindle. Book excerpt: A leading pioneer in the field offers practical applications of this innovative science. Peters describes complex concepts in an easy-to-follow manner for the non-mathematician. He uses fractals, rescaled range analysis and nonlinear dynamical models to explain behavior and understand price movements. These are specific tools employed by chaos scientists to map and measure physical and now, economic phenomena.
Book Synopsis The Foreign Exchange Market by : Richard T. Baillie
Download or read book The Foreign Exchange Market written by Richard T. Baillie and published by Cambridge University Press. This book was released on 1989 with total page 280 pages. Available in PDF, EPUB and Kindle. Book excerpt: The flotation of exchange rates in the early 1970s saw a significant increase in the importance of foreign exchange markets and in the interest shown in them. Apart from the consequent institutional changes, this period also witnessed a revolution in macroeconomic analysis and finance theory based on the concept of rational expectations. This book provides an integrated approach to recent developments in the understanding of foreign exchange markets. It begins by charting the institutional background and looks at the recent history of movements in some of the major exchange rates. The theoretical sections focus on the economic and finance theory of the asset market approach, the macroeconomic models developed from this approach, and on interest rate parity theory. The empirical chapters draw on the authors' own research from a high quality set of exchange rate and interest rate data. The statistical properties of exchange rates are analysed; the relationship between spot and forward rates is examined; and the modelling and impact of new information on the forward and spot relationship is considered. The final chapter is devoted to the estimation and testing of exchange rate models.
Book Synopsis The Microstructure of Foreign Exchange Markets by : Jeffrey A. Frankel
Download or read book The Microstructure of Foreign Exchange Markets written by Jeffrey A. Frankel and published by University of Chicago Press. This book was released on 2009-05-15 with total page 358 pages. Available in PDF, EPUB and Kindle. Book excerpt: The foreign exchange market is the largest, fastest-growing financial market in the world. Yet conventional macroeconomic approaches do not explain why people trade foreign exchange. At the same time, they fail to explain the short-run determinants of the exchange rate. These nine innovative essays use a microstructure approach to analyze the workings of the foreign exchange market, with special emphasis on institutional aspects and the actual behavior of market participants. They examine the volume of transactions, heterogeneity of traders, the time of day and location of trading, the bid-ask spread, and the high level of exchange rate volatility that has puzzled many observers. They also consider the structure of the market, including such issues as nontransparency, asymmetric information, liquidity trading, the use of automated brokers, the relationship between spot and derivative markets, and the importance of systemic risk in the market. This timely volume will be essential reading for anyone interested in the economics of international finance.
Book Synopsis The X-11 Variant of the Census Method II Seasonal Adjustment Program by : Julius Shiskin
Download or read book The X-11 Variant of the Census Method II Seasonal Adjustment Program written by Julius Shiskin and published by . This book was released on 1965 with total page 76 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Managing and Measuring Risk by : Oliviero Roggi
Download or read book Managing and Measuring Risk written by Oliviero Roggi and published by World Scientific Publishing Company Incorporated. This book was released on 2013 with total page 520 pages. Available in PDF, EPUB and Kindle. Book excerpt: Ch. 1. An evolutionary perspective on the concept of risk, uncertainty and risk management / Oliviero Roggi and Omar Ottonelli -- ch. 2. Toward a bottom-up approach to assessing sovereign default risk: an update / Edward I. Altman and Herbert Rijken -- ch. 3. Measuring systemic risk / Viral V. Acharya ... [et al.] -- ch. 4. Taxing systemic risk / Viral V. Acharya ... [et al.] -- ch. 5. Liquidity and efficiency in three related foreign exchange options markets / Menachem Brenner and Ben Z. Schreiber -- ch. 6. Illiquidity or credit deterioration: a study of liquidity in the US corporate bond market during financial crises / Nils Friewald, Rainer Jankowitsch and Marti G. Subrahmanyam -- ch. 7. Integrated wealth and risk management: first principles / Zvi Bodie -- ch. 8. Analyzing the impact of effective risk management: innovation and capital structure effects / Torben Juul Andersen -- ch. 9. Modeling credit risk for SMEs: evidence from the US market / Edward I. Altman and Gabriele Sabato -- ch. 10. SME rating: risk globally, measure locally / Oliviero Roggi and Alessandro Giannozzi -- ch. 11. Credit loss and systematic LGD / Jon Frye and Michael Jacobs Jr. -- ch. 12. Equity risk premiums (ERP): determinants, estimation and implications - the 2012 edition / Aswath Damodaran -- ch. 13. Stock market crashes in 2007-2009: were we able to predict them? / Sébastien Lleo and William T. Ziemba
Book Synopsis Foreign Exchange Intervention Rules for Central Banks: A Risk-based Framework by : Romain Lafarguette
Download or read book Foreign Exchange Intervention Rules for Central Banks: A Risk-based Framework written by Romain Lafarguette and published by International Monetary Fund. This book was released on 2021-02-12 with total page 33 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper presents a rule for foreign exchange interventions (FXI), designed to preserve financial stability in floating exchange rate arrangements. The FXI rule addresses a market failure: the absence of hedging solution for tail exchange rate risk in the market (i.e. high volatility). Market impairment or overshoot of exchange rate between two equilibria could generate high volatility and threaten financial stability due to unhedged exposure to exchange rate risk in the economy. The rule uses the concept of Value at Risk (VaR) to define FXI triggers. While it provides to the market a hedge against tail risk, the rule allows the exchange rate to smoothly adjust to new equilibria. In addition, the rule is budget neutral over the medium term, encourages a prudent risk management in the market, and is more resilient to speculative attacks than other rules, such as fixed-volatility rules. The empirical methodology is backtested on Banco Mexico’s FXIs data between 2008 and 2016.
Author :Banco de Pagos Internacionales (Basilea, Suiza). Departamento Monetario y Económico Publisher : ISBN 13 :9789291319626 Total Pages :0 pages Book Rating :4.3/5 (196 download)
Book Synopsis Market Volatility and Foreign Exchange Intervention in EMEs by : Banco de Pagos Internacionales (Basilea, Suiza). Departamento Monetario y Económico
Download or read book Market Volatility and Foreign Exchange Intervention in EMEs written by Banco de Pagos Internacionales (Basilea, Suiza). Departamento Monetario y Económico and published by . This book was released on 2013 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Exchange Rates and International Financial Economics by : J. Kallianiotis
Download or read book Exchange Rates and International Financial Economics written by J. Kallianiotis and published by Springer. This book was released on 2013-10-02 with total page 333 pages. Available in PDF, EPUB and Kindle. Book excerpt: The recent financial crisis has troubled the US, Europe, and beyond, and is indicative of the integrated world in which we live. Today, transactions take place with the use of foreign currencies, and their values affect the nations' economies and their citizens' welfare. Exchange Rates and International Financial Economics provides readers with the historic, theoretical, and practical knowledge of these relative prices among currencies. While much of the previous work on the topic has been simply descriptive or theoretical, Kallianiotis gives a unique and intimate understanding of international exchange rates and their place in an increasingly globalized world.
Book Synopsis The UK financial system by : Mike Buckle
Download or read book The UK financial system written by Mike Buckle and published by Manchester University Press. This book was released on 2016-10-21 with total page 479 pages. Available in PDF, EPUB and Kindle. Book excerpt: The UK financial system, now in its fifth edition, provides an up-to-date discussion of the UK financial system and the changes affecting it. Throughout the world the nature and regulation of financial systems have changed dramatically following the global financial crisis. In this text the necessary underlying theory is introduced and a range of relevant statistics provided in each chapter to supplement the narrative. Coverage includes a critique of the UK financial institutions and markets, as well as regulation emanating both from within the UK and also from supranational bodies such as the Bank for International Settlements and the European Union. The discussion is based on both the underlying theory as well as the operating practices of the institutions and markets. Each supplemented by a comprehensive glossary, the book is subdivided into three main sections: financial institutions; financial markets; and the regulation of banks and other financial institutions. The book will be essential reading to lecturers and undergraduate students enrolled on courses in financial economics and banking.
Book Synopsis The Economics of Exchange Rates by : Lucio Sarno
Download or read book The Economics of Exchange Rates written by Lucio Sarno and published by . This book was released on 2002 with total page 344 pages. Available in PDF, EPUB and Kindle. Book excerpt: Table of contents
Book Synopsis Price-Based Investment Strategies by : Adam Zaremba
Download or read book Price-Based Investment Strategies written by Adam Zaremba and published by Springer. This book was released on 2018-07-25 with total page 325 pages. Available in PDF, EPUB and Kindle. Book excerpt: This compelling book examines the price-based revolution in investing, showing how research over recent decades has reinvented technical analysis. The authors discuss the major groups of price-based strategies, considering their theoretical motivation, individual and combined implementation, and back-tested results when applied to investment across country stock markets. Containing a comprehensive sample of performance data, taken from 24 major developed markets around the world and ranging over the last 25 years, the authors construct practical portfolios and display their performance—ensuring the book is not only academically rigorous, but practically applicable too. This is a highly useful volume that will be of relevance to researchers and students working in the field of price-based investing, as well as individual investors, fund pickers, market analysts, fund managers, pension fund consultants, hedge fund portfolio managers, endowment chief investment officers, futures traders, and family office investors.
Book Synopsis The Exchange Rate in a Behavioral Finance Framework by : Paul De Grauwe
Download or read book The Exchange Rate in a Behavioral Finance Framework written by Paul De Grauwe and published by Princeton University Press. This book was released on 2006-04-02 with total page 234 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book provides an alternative view of the workings of foreign exchange markets. The authors' modeling approach is based on the idea that agents use simple forecasting rules and switch to those rules that have been shown to be the most profitable in the past. This selection mechanism is based on trial and error and is probably the best possible strategy in an uncertain world, the authors contend. It creates a rich dynamic in the foreign exchange markets and can generate bubbles and crashes. Sensitivity to initial conditions is a pervasive force in De Grauwe and Grimaldi's model. It explains why large exchange-rate changes and volatility clustering occur. It also has important implications for understanding how the news affects the exchange rate. De Grauwe and Grimaldi conclude that news in fundamentals has an unpredictable effect on the exchange rate. Sometimes, they maintain, it alters the exchange rate considerably; at other times it has no effectwhatsoever. The authors also use their model to analyze the effects of official interventions in the foreign exchange market. They show that simple intervention rules of the "leaning-against-the-wind" variety can be effective in eliminating bubbles and crashes in the exchange rate. They further demonstrate how, quite paradoxically, by intervening in the foreign exchange market the central bank makes the market look more efficient. Clear and comprehensive, The Exchange Rate in a Behavioral Finance Framework is a must-have for analysts in foreign exchange markets as well as students of international finance and economics.
Book Synopsis The Theory of Forward Exchange by : Paul Einzig
Download or read book The Theory of Forward Exchange written by Paul Einzig and published by London : Macmillan. This book was released on 1932 with total page 40 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Handbook of Exchange Rates by : Jessica James
Download or read book Handbook of Exchange Rates written by Jessica James and published by John Wiley & Sons. This book was released on 2012-05-29 with total page 674 pages. Available in PDF, EPUB and Kindle. Book excerpt: Praise for Handbook of Exchange Rates “This book is remarkable. I expect it to become the anchor reference for people working in the foreign exchange field.” —Richard K. Lyons, Dean and Professor of Finance, Haas School of Business, University of California Berkeley “It is quite easily the most wide ranging treaty of expertise on the forex market I have ever come across. I will be keeping a copy close to my fingertips.” —Jim O’Neill, Chairman, Goldman Sachs Asset Management How should we evaluate the forecasting power of models? What are appropriate loss functions for major market participants? Is the exchange rate the only means of adjustment? Handbook of Exchange Rates answers these questions and many more, equipping readers with the relevant concepts and policies for working in today’s international economic climate. Featuring contributions written by leading specialists from the global financial arena, this handbook provides a collection of original ideas on foreign exchange (FX) rates in four succinct sections: • Overview introduces the history of the FX market and exchange rate regimes, discussing key instruments in the trading environment as well as macro and micro approaches to FX determination. • Exchange Rate Models and Methods focuses on forecasting exchange rates, featuring methodological contributions on the statistical methods for evaluating forecast performance, parity relationships, fair value models, and flow–based models. • FX Markets and Products outlines active currency management, currency hedging, hedge accounting; high frequency and algorithmic trading in FX; and FX strategy-based products. • FX Markets and Policy explores the current policies in place in global markets and presents a framework for analyzing financial crises. Throughout the book, topics are explored in-depth alongside their founding principles. Each chapter uses real-world examples from the financial industry and concludes with a summary that outlines key points and concepts. Handbook of Exchange Rates is an essential reference for fund managers and investors as well as practitioners and researchers working in finance, banking, business, and econometrics. The book also serves as a valuable supplement for courses on economics, business, and international finance at the upper-undergraduate and graduate levels.
Book Synopsis An Empirical Study of the Foreign-exchange Market: Test of a Theory by : Fred R. Glahe
Download or read book An Empirical Study of the Foreign-exchange Market: Test of a Theory written by Fred R. Glahe and published by . This book was released on 1967 with total page 76 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Exchange-rate Management in Theory and Practice by : Victor E. Argy
Download or read book Exchange-rate Management in Theory and Practice written by Victor E. Argy and published by . This book was released on 1982 with total page 374 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis The Psychology of the Foreign Exchange Market by : Thomas Oberlechner
Download or read book The Psychology of the Foreign Exchange Market written by Thomas Oberlechner and published by Wiley. This book was released on 2004-11-30 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book demystifies the foreign exchange market by focusing on the people who comprise it. Drawing on the expertise of the very professionals whose decisions help shape the market, Thomas Oberlechner describes the highly interdependent relationship between financial decision makers and news providers, showing that the assumption that the foreign exchange market is purely economic and rational has to be replaced by a more complex market psychology.
