Comment on “turbulent Cascades in Foreign Exchange Markets”

The Influence of Structural Changes in Volatility on Shock Transmission and Volatility Spillover among Iranian Gold and Foreign Exchange Markets

Stop-loss Orders and Price Cascades in Currency Markets

Currency economists are puzzled by the relatively high frequency of massive, abrupt exchange-rate changes, such as dollar-yen’s 11 percent decline on October 7, 1998. This paper provides evidence that such moves may be partly caused by stop-loss orders, which create rapid, self-reinforcing exchange rate movements or "price cascades." The central hypothesis, which is taken from prominent theoret...

A Pricing Kernel Approach Estimates of Foreign Exchange Risk Premia: A Pricing Kernel Approach

The goal of this study is to measure market prices of risk and the associated foreign exchange risk premia extending the approach proposed by Balduzzi and Robotti (2001) to an international framework. Estimations of minimum variance stochastic discount factors permits the determination of market prices of risk, which, in turn, in an international framework, allow to compute foreign exchange ris...

Multifractal Fluctuations in Finance

We consider the structure functions S (q) (τ), i.e. the moments of order q of the increments X(t + τ) − X(t) of the Foreign Exchange rate X(t) which give clear evidence of scaling (S (q) (τ) ∝ τ ζ(q)). We demonstrate that the nonlinearity of the observed scaling exponent ζ(q) is incompatible with monofractal additive stochastic models usually introduced in finance: Brownian motion, Levy process...

Transfer of price returns in the markets, gold, stock exchanges and housing Considering the liquidity ratio.

Examining the transfer of returns in the markets helps analysts to identify the reasons for the movement of liquidity ratio between the markets. In this study, the monthly data of the gold market price index, housing, stock exchange and the currency has been used in Iran for the past twenty years. Investigating the interactions between price returns The stock market, housing, currency and gol...