Currency Trading Research Articles

Book Reviews

Kathryn M. E. Dominguez of the University of Michigan reviews “Currency Conflict and Trade Policy: A New Strategy for the United States,” by C. Fred Bergsten and Joseph E. Gagnon. The Econlit abstract of this book begins: “Analyzes the economics and politics of currency manipulation, globally and with respect to the key individual countries that engage in repeated intervention or feel its effects, and demonstrates empirically the strong connection between official foreign-exchange intervention and trade imbalances.”

Foster-Hart optimization for currency portfolios

Abstract We examine the effectiveness of Foster-Hart optimization for currency portfolios. Compared to stock trading, short selling is quite common in currency trading. Combining long and short positions leads to maintaining positive expected portfolio returns. Foster-Hart optimization is more applicable to currency portfolios than to stock portfolios because the Foster-Hart risk measure is not defined for the gamble whose expected returns are negative. Our sample portfolio consists of ten European currencies. For time series analysis, we employ a generalized autoregressive conditional heteroscedasticity (GARCH) model with multivariate normal tempered stable (MNTS) distributed residuals in order to capture fat-tailedness, skewness, and asymmetric interdependence of exchange rate dynamics. Statistical tests indicate that the model is recommendable among the candidate models. We establish that Foster-Hart optimization is more profitable than standard techniques in this context.

The Impact of Interbank Offered Rate on the Exchange Rate of the Chinese Yuan Renminbi Against the Sterling Pound: Evidence from Libor and Shibor

United Kingdom, as the world’s fifth largest economy, maintains good cooperation relation with China in the area of economy and trade. As the world’s fourth largest foreign exchange trading currency, the exchange rate fluctuation of the sterling pound has an important economic impact on the world’s foreign exchange market and it also has a significant impact on the trade with China. There are many factors that influence the exchange rate. By using time series approach, this paper analyzes the impact of two main variables, Libor and Shibor, and five common economy variables, inflation rate, interest rate, balance of trade, GDP and money supply, on the change of the sterling pound exchange rate. The results of the empirical analysis show that five common factors have significant relation with exchange rate. For the two main variables, Libor has a strong correlation with the sterling pound exchange rate, but Shibor has no such relation. Meanwhile, this paper focuses on analyzing the possibility of arbitrage according to the empirical results. It was found that the model for the impact on exchange rate in this paper cannot predict future exchange rate. As a result, short-term arbitrage prediction cannot be made.

Managerial risk-taking in peer to peer investments: A study of the Indian banking industry

Same industry peer to peer investments and transactions, like those of crypto- currency trading, financial disintermediation, small grid energy trading etc., are fast emerging as an interesting bus...

On the study of conditional dependence structure between oil, gold and USD exchange rates

Energy commodities and precious metals differ from other trading products. In fact, both oil and gold prices are leading economic variables and drive the evolution of the world economy. Since the US dollar is used as the primary currency of international crude oil and gold trading, the relationship between commodities, metals and exchange rates became a major research agenda recently. Therefore, this study proposes a Nested copula based GARCH models to explore the dependence structure between oil, gold and USD exchange rate. More importantly, a comparative framework based on three sub-periods is implemented to capture the co-movement during normal and crisis period. Empirical results suggest that for both crisis period the dependence between oil, gold and USD exchange rate is stronger comparing with the dependence during the untroubled period. Moreover, the co-movement is accelerated which is explained by the unusual movement of USD during the global financial crisis of 2007–2009.

Analyzing predictive performance of linear models on high-frequency currency exchange rates

We generate a large number of predictive models by applying linear kernel SVR to historical currency rates’ bid data for three currency pairs obtained from high-frequency trading. The bid tick data are converted into equally spaced (1 min) data. Differences of price between the previous successive timeframes are used as features to predict the direction of movement of the price in the next timeframe. Different values for the number of training samples, number of features, and the length of the timeframes are used when learning the models. These models are used to conduct simulated currency trading in the year following the one in which the model was learned. Profits (sum of realized differences in best bid prices when order is executed), hit ratios, and number of trades executed using these models are recorded. The experiments indicate that while it is difficult to construct models using only historical data that consistently perform well, there are models that show good performance under certain pre-defined conditions, and that many of these models have an interesting property. Upon examining the parameters of these models, we discover that they have all negative coefficients and a negligibly small intercept, while having positive profits and good hit ratio. This suggests a simple yet effective trading strategy. Finally, we examine the historical data to find corroboration for the pattern suggested by the generated models and present the results.

The Product Characteristic of Electronic Money from the Perspective of the Negotiable Instruments Law

The development of currency trading is not only using the cash as a payment instrument for a transaction. For example is the emergence of non-cash payments such as negotiable instruments. That type of instrument offers a more effective and safer way than using the cash. Along with the development of the technology, a non-cash payment innovation emerged, which characteristics, at a glance, similar to negotiable instruments, such as credit cards, debit cards, and electronic money products which gives a safer and more efficient way than using the cash for a transaction. Based on this, led to the view that non-cash payment instruments such as credit cards, debit cards, and electronic money products can be classified as negotiable instruments. However, that classification must be done by reviewing the relevant regulations, such as Commercial Code and else and also observing the doctrines in the perspective of the science concerned, to state that the development of such instruments can be classified as negotiable instruments or not.Keywords: Negotiable instruments, Letter of Value, Credit Cards, Debit Cards, Electronic Money Products, Classification.

Standard and optimized carry trades

Drawdown periods of standard carry trades are primarily the result of losses in classic carry trade currencies. These periods coincide with an increased financial stress, such as the recent financial crisis. The introduced optimized carry trades employ a dynamic weighting scheme for currencies, which incorporates general risk components. Optimized carry trades are therefore less exposed to losses under financial stress, and provide an enhanced risk‐return profile over the entire and second half of the sample period and during periods of volatile markets. These results find robust statistical evidence. Furthermore, optimized carry trades have a lower correlation with traditional asset classes than standard carry trades. Traditional models of risk are less successful in explaining the returns of optimized carry trades.

ANALISIS PENGAMBILAN KEPUTUSAN INVESTASIUNTUK MERAIH PROFIT KONSISTEN PADA PASAR UANG ONLINE

<p><strong></strong>The continued development of information technology to encourage various parties to compete in fulfilling the needs of both physical and non-physical. Market as the fulfillment of human needs from the first until now always been growing rapidly, ranging from market goods, services market, the labor market to the capital market and money market. Exchange or money market is still very dominate the world market, as technological developments for today's financial markets can be done with the online system, plus the application of the concept of sharia / non usury / interest for the non-Muslim perpetrators of the majority in Indonesia. Corresponding description of the background in front of which has been delivered, we can formulate the problem of this research, namely: How good decision making in investment to get a consistent profit on the internet online money market trading? By using both Technical Analysis / mathematical analysis and supported by fundamentals, then investing in a money market alternative benefit / profit in addition to the public revenue. Besides, the application of the business need for mentors, to provide training online currency trading. Because they factor of trading psychology and money management is also a major thing for critical success trading these currencies online.</p><p><br /><strong>Keyword : Investment, consistent profit, online money market trading</strong></p>

Carry Trade Returns and Segmented Risk Pricing

The returns to carry trades are controversially discussed as there seems to be no unifying risk-based explanation of currency returns and stock returns. This paper addresses carry trade returns from a risk pricing perspective and examines if these returns can be connected to persistent cross-country differences of risk aversion. Therefore, I analyze a data set of individual carry trade currencies. Based on a GMM estimation, I find significantly large and persistent cross-country differences of risk aversion in the interest rate market compared to the implied risk aversion in the stock market. In this context, investment currencies are more sensitive to U.S. consumption risk while funding currencies provide a hedge. However, this also implies that there is no unifying SDF and consequently, both the interest rate market and the stock market appear to be segmented in risk pricing for carry trade countries.

‘Voyage Iron’: An Atlantic Slave Trade Currency, its European Origins, and West African Impact*

An array of goods was traded to Africa in the era of the transatlantic slave trade. Many were eye-catching consumer goods; others were far more mundane, including ‘voyage iron’, a metal forged in n ...

Dynamic Relationship between Crude Oil, Gold and Exchange Rates: The Case of India

Gold and Crude Oil are the most trading commodities in the international market. EURO, USD, JPY and GBP are the four most trading currencies available for the market participants to trade. There are many factors which determine the changes in the Exchange rates. Similarly, change in the Gold prices and Crude Oil prices might impact the changes in the determination of Exchange rates. The study considered US Crude Oil (WTI- West Texas Intermediate) Prices,IB Oil(Indian Crude Basket)and Gold prices to assess the relationship. The study used Multiple Linear Regression Analysis and Granger causality test to analyze the relationship between gold, crude oil and exchange rates. The study found that only gold returns has positive impact on EURO/INR returns. Further granger causality test results revealsuni directional causality from Euro returns to Gold returns, Gold returns to JPY returns, IB Oil returns to JPY Returns and IB Oil returns to USD returns. The market participants are suggested to consider the effect of gold returns and IB Oil performance to take investment or trading decision in forex market (JPY/INR, USD/INR and EURO/INR exchange rates).

Jews as Criminal Figures in Western Belarus in The Interwar Period (Based on the State Archives of the Grodno Region)

The interwar period is characterized by changes in social and economic structure of the Jewish population of Poland. The policy of state regulation caused sharp decline in living standards and the social status of broad masses of the Jewish population here. It could not but cause violations of processes of socialization. In general the number of the penal acts made by Jews in the territory of the Western Belarus during the interwar period was lower, than the number of the crimes committed by other citizens of Poland: the number of criminals in the Jewish environment was half less, than among representatives of other nationalities. It is explained by a number of factors. But in the Jewish environment did not do without crimes. Poles more often than Jews, judged for theft, a robbery, for murders and also for the crimes committed for political motives. Jews in turn are more often mentioned in the affairs connected with economic crimes: buying up and sale stolen, fake of money, trade in foreign currency, falsification of documents. Article is written on the basis of the analysis of materials of the State archive of the Grodno region. Here as the most widespread in the Jewish environment the following crimes are recorded: theft, speculation, illegal crossing of border and also murder.

Trade Blocks, Common Markets, Currency Unions and FDI Stocks: The Impacts of NAFTA and the EU

Trade Blocks, Common Markets, Currency Unions and FDI Stocks: The Impacts of NAFTA and the EU

Prioritization of Market Stabilization Factors for Virtual Currency Trading

Prioritization of Market Stabilization Factors for Virtual Currency Trading

Recursive in/formality: Time and ideology in a distributed monetary system

I argue that in/formality is not a distinction between two qualities, but rather, a distinction of relative position achieved through linguistic and nonlinguistic practices of categorization. Through an analysis of illegal currency trading in Argentina, I show how temporal and ideological dynamics shape the semiotic framing of in/formality in any given context.

Dominant Invoicing Currency and Asymmetric Monetary Effects

We show how the U.S. dollar as the dominant invoicing currency in international trade causes the U.S. monetary policy to have asymmetric monetary effects. We develop a model of two countries, U.S. and Japan. Households in both countries need to hold cash in advance to purchase consumption goods: The U.S. dollar can be used to purchase both countries' goods, while the Japanese yen can only be used to purchase Japan's goods. Under these constraints, an expansionary U.S. monetary policy leads to (1) a larger U.S. trade deficit, (2) larger foreign holdings of the U.S. dollar, and (3) an appreciation of the U.S. real exchange rate. In contrast, the Japanese monetary policy has none of these real effects. Beyond asymmetric monetary effects, our novel mechanism also explains the correlation between consumption and real exchange rate, and the connection between foreign economic growth and the demand for the U.S. dollar.

Phenomenon of gold rushes as territorial, mining and socio-cultural development of North Asia (Part IІІ)

This series of articles systematizes the events of settlement and economic development of vast spaces of North America, Australia, South Africa and North Asia, which are related to the movement of gold and diamond hunters (gold and diamond rushes). A chronological survey of the events is offered, the general phenomenon analyzed as well as specific aspects of its historical, mining, geological and organizational constituents covered. The material is divided into three separate but thematically united parts which describe the phenomenon of gold rush-spontaneous large-scale gold mining at newly discovered deposits in remote (for Europeans) parts of the world in the second half of the 19th century - the early 20th century. The impact of gold rushes in North America and Australia on the processes of global economic and financial transformations is shown. Large outputs resulted in setting a monetary gold standard which had been in place up to World War I: a wide turnover of gold coins, displacement of silver which began to act as token money as well as free exchange of paper money for gold coins. The above contributed to a sustainable development of world money relations which gave rise to a global financial system in the modern sense; a significant banks' influence on economic transformations as well as establishment of international centers for financial capital. Huge gold reserves were purposefully accumulated in the USA which, extracting an ample quantity of gold in its territory, bought up a considerable part of the world gold output, which eventually secured the key status of the American currency in world trade. Extracted gold played a key role in provision of financial resources for large-scale industrial development of the industrial epoch. Numerous migrations of working people from gold mining sites promoted the development and settlement of remote territories as well as the utilization of their natural resources in the global economic development. In the proposed third part, the authors cover events in North Asia - in the Urals and Siberia.

Applicability of Random Forests Forecating on International Currency Trade: An Investigation Through R Language

The goal of this research is to study the performance of foreign exchange trade in both India and China. India and China raised rapidly in recent times and there is abundant of speculation that these countries might reach to the level of few other developed nations as far as international trade is concerned. While there isn’t any doubt that these countries emerging as economic powers in the Asia-Pacific region, but lot of effort is required at international platform with respect to trade and commerce. One of such areas of competition are international currency trade. The aim of this study is to understand trends of currency trade in order to predict how likely these countries are going to emerge as best in the region. The study used certain secondary data sets from very reliable and authenticated sources. As far as statistical techniques are concerned, random walk forecasting methods were employed to test the study hypothesis. The study gathered certain evidence that though there are similarities in presents and past performance, but it is not likely to be the same in the future. However, the study concludes that random forests forecasting as a methodology is highly useful in studying trends in the data.

Phenomenon of gold and diamond rushes as territorial, mining and socio-cultural development of continental spaces of South Africa (part IІ)

This series of articles systematizes the events of settlement and economic development of vast spaces of North America, Australia, South Africa and North Asia, which are related to the movement of gold and diamond hunters (gold and diamond rushes). A chronological survey of the events is offered, the general phenomenon analyzed as well as specific aspects of its historical, mining, geological and organizational constituents covered. The material is divided into three separate but thematically united parts which describe the phenomenon of gold rush-spontaneous large-scale gold mining at newly discovered deposits in remote (for Europeans) parts of the world in the second half of the 19th century - the early 20th century. The impact of gold rushes in North America and Australia on the processes of global economic and financial transformations is shown. Large outputs resulted in setting a monetary gold standard which had been in place up to World War I: a wide turnover of gold coins, displacement of silver which began to act as token money as well as free exchange of paper money for gold coins. The above contributed to a sustainable development of world money relations which gave rise to a global financial system in the modern sense; a significant banks' influence on economic transformations as well as establishment of international centers for financial capital. Huge gold reserves were purposefully accumulated in the USA which, extracting an ample quantity of gold in its territory, bought up a considerable part of the world gold output, which eventually secured the key status of the American currency in world trade. Extracted gold played a key role in provision of financial resources for large-scale industrial development of the industrial epoch. Numerous migrations of working people from gold mining sites promoted the development and settlement of remote territories as well as the utilization of their natural resources in the global economic development.