منابع مشابه
Indeterminacy in Foreign Exchange Markets
We discuss price variations distributions in foreign exchange markets, characterizing them both in calendar and business time frameworks. The price dynamics is found to be the result of two distinct processes, a multi-variance diffusion and an error process. The presence of the latter, which dominates at short time scales, leads to indeterminacy principle in finance. Furthermore, dynamics does ...
متن کاملTiming Foreign Exchange Markets
Priced level, slope, and volatility risk factors recently proposed in the finance literature help explain long-standing puzzles related to the cross-section of carry trade returns. In this paper, we examine whether the information contained in these global factors allows foreign exchange market speculators in individual currencies to successfully time the direction of their carry trades, both w...
متن کاملTime and foreign exchange markets
The definition of time is still an open question when one deals with high frequency time series. If time is simply the calendar time, prices can be modeled as continuous random processes and values resulting from transactions or given quotes are discrete samples of this underlying dynamics. On the contrary, if one takes the business time point of view, price dynamics is a discrete random proces...
متن کاملLocal Information in Foreign Exchange Markets
This study shows that order flow in a foreign exchange market only has permanent price impact if it comes from certain regions. These regions are – as predicted by the local information hypothesis – centers of political and financial decision making. It is revealing that orders from other regions only show a very short-lived but no permanent price impact. Local information is so important that ...
متن کاملNature Turbulent Cascades in Foreign Exchange Markets
The availability of high frequency data for nancial markets has made it pos sible to study market dynamics on timescales of less than a day For foreign exchange FX rates M uller et al have shown that there is a net informa tion ow from long to short time scales the behaviour of long term traders who watch the market only from time to time in uences the behaviour of short term traders who watch ...
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ژورنال
عنوان ژورنال: Physica A: Statistical Mechanics and its Applications
سال: 2000
ISSN: 0378-4371
DOI: 10.1016/s0378-4371(99)00589-0