We present a variance drift adjusted version of the Heston model which leads to a significant improvement of the market volatility surface fitting (compared to Heston). The numerical example we performed with recent market data shows a significant reduction of the average absolute calibration error 1 (calibration on 12 dates ranging from Sep. 19 to Oct. 17 2011 for the FOREX underlying EURUSD)....

Are frequent changes in freely floating exchange rates attributable to stabilising speculation reflecting changes in the fundamental determinants of currencies; or to destabilising behaviour of various kinds, driving prices away from fundamentals, and creating "excess" volatility? This paper, motivated by the need to assess appropriate tests for efficiency for the growing range of liberalised a...

This study aims to measure the accuracy of Relative Strength Index (RSI) Indicator in predicting direction foreign exchange (forex) price movements. To achieve research objectives, six currencies that fall into major pair category were determined as samples. RSI data is collected from Foreign Exchange Market which can be accessed via tradingview.com during period, January – September 2021. The ...

Abstract Forex (foreign exchange) is a special financial market that entails both high risks and profit opportunities for traders. It also very simple since traders can by just predicting the direction of exchange rate between two currencies. However, incorrect predictions in may cause much higher losses than other typical markets. The prediction requirement makes problem quite different from t...

This paper describes the use of Belief Networks for mixedinitiative dialog modeling within the context of the CU FOREX system [1]. CU FOREX is a bilingual hotline for real-time foreign exchange inquiries. Presently, it supports two separate interaction modalities: a direct dialog (DD) interaction, which is systeminitiated for novice users; as well as natural language (NLS) shortcuts, which is u...