With considering a ‘triangle of three major currency pairs’, there is a tiny difference between multiplication of exchange rate for the first two currency pairs and the third. To discover whether this little difference can lead to a neutral arbitrage or not, I took portfolios of 35 baskets of three major currency pairs(combinations of all 7 major currencies). There are eight approaches (differe...

with considering a ‘triangle of three major currency pairs’, there is a tiny difference between multiplication of exchange rate for the first two currency pairs and the third. to discover whether this little difference can lead to a neutral arbitrage or not, i took portfolios of 35 baskets of three major currency pairs(combinations of all 7 major currencies). there are eight approaches (differe...

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...

The article is devoted to analysis of currency quotes behavior on the currency market by defining dynamic changes over time. The main tool of fractal analysis is the Hurst under the hypothesis of fractal market. For 17 major currency pairs on closing prices and the prices maximum-minimum the Hurst index is calculated by formula for the adjusted R/S analysis. Values at the currency markets of di...

Candlestick charts are a type of financial chart for tracking the movement of securities. Some of the earliest technical trading analysis was used to track prices of rice in the 18th century. Some investors find them more visually appealing than the standard bar charts and the price actions easier to interpret. In technical analysis, a candlestick pattern is a movement in prices shown graphical...

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...

We have developed a new financial indicator – called the Interest Rate Differential Adjusted for Volatility (IRDAV) measure – to assist investors in currency markets. On a monthly basis, we rank currency pairs according to this measure and generate a basket of pairs with the highest IRDAV values. Under positive market conditions, an IRDAV based investment strategy (buying a currency with high i...

High-frequency financial data of the foreign exchange market (EUR/CHF, EUR/GBP, EUR/JPY, EUR/NOK, EUR/SEK, EUR/USD, NZD/USD, USD/CAD, USD/CHF, USD/JPY, USD/NOK, and USD/SEK) are analyzed by utilizing the Kullback-Leibler divergence between two normalized spectrograms of the tick frequency and the generalized Jensen-Shannon divergence among them. The temporal structure variations of the similari...