in searching a market-neutral arbitrage strategy in forex market, we took a portfolio of three major currency pairs, eur-usd, usd-jpy, and eur-jpy. there are eight approaches, different cases of short and long positions; for example buying 1st and selling two others, etc. historical daily fx rates were gathered since january 1990 until february 2011. monthly covariances between daily growth rat...

Coins appeared many centuries ago with the goal of facilitating exchange objects between people, but this means fell out hands states that had control over their currencies mid-2008, until a new type currency appeared, first safe and functional cryptocurrency did not need to have any government intervening, Bitcoin, decentralized has manufacturing limit is becoming increasingly relevant in curr...

 The foreign exchange market (FX market) accounts for 40% of the total volume of the world’s e-commerce by its own. Based on statistics, sometimes up to 90 per cent of the traders lose their total capital in this market just within six months to one year and leave this market. The probability of loss in the FX market can be estimated by probability theory. The present paper intends to demonst...

In Kohler (2002) we analyse coalition formation in monetary policy coordination games between n countries. We find that positive spillovers of the coalition formation process and the resulting free-rider problem limit the stable coalition size: since the coalition members are bound by the union’s discipline, an outsider can successfully export inflation without fearing that the insiders will tr...

In this paper we introduce a new method to describe dynamical patterns of the real exchange rate movements time series and to analyze contagion in currency crisis. The method combines the tools of Symbolic Time Series Analysis [18] with the nearest neighbor single linkage clustering algorithm [34]. Data symbolization allows to obtain a metric distance between two different time series that is u...

How do economic fundamentals, policy preferences, and market information shape optimal policy and devaluation outcomes during speculative currency crises? We address these questions in a global-game model where speculators lack common knowledge regarding the policy maker’s commitment to defending the currency. While previous work has shown that the signaling role of preemptive policy measures s...

We construct a two-country DSGE model with multiple stages of processing and localcurrency staggered price-setting to study cross-country quantity correlations driven by monetary shocks. The model embodies a mechanism that propagates a monetary surprise in the home country to lower the foreign price level while restraining the home price level from rising too quickly; and, it does so through re...