Econometric Modeling: International Financial Markets - Foreign Exchange eJournal最新文献

Trust in DeFi: An Empirical Study of the Decentralized Exchange DeFi中的信任:去中心化交换的实证研究

Econometric Modeling: International Financial Markets - Foreign Exchange eJournal Pub Date : 2021-07-30 DOI: 10.2139/ssrn.3896461

Jianlei Han, Shiyang Huang, Zhuo Zhong

{"title":"Trust in DeFi: An Empirical Study of the Decentralized Exchange","authors":"Jianlei Han, Shiyang Huang, Zhuo Zhong","doi":"10.2139/ssrn.3896461","DOIUrl":"https://doi.org/10.2139/ssrn.3896461","url":null,"abstract":"We provide empirical evidence that the decentralized cryptocurrency exchange can help reach the decentralized consensus of cryptocurrency value. We focus on Binance (the largest centralized cryptocurrency exchange) and Uniswap (the largest decentralized cryptocurrency exchange), and show that investors on Binance and Uniswap trade in response to prices on the two exchanges. More importantly, we find that the size of Uniswap user base exerts an asymmetric impact on investors’ trading. When its size increases, Uniswap user base exerts a larger impact on investors’ trading on Binance towards the Uniswap price, compared to the opposite direction. With a quasi-exogenous shock on Uniswap user base, we establish the causal impact of Uniswap user base on trading. Our results suggest that Uniswap as a decentralized exchange can reflect the consensus of cryptocurrency value that investors believe in because of blockchain’s transparency and trustworthiness. Our findings imply that the decentralized infrastructure built on blockchain and smart contracts can provide an alternative solution to cases where a consensus underwritten by a credible central party is not feasible or too costly to obtain.","PeriodicalId":413816,"journal":{"name":"Econometric Modeling: International Financial Markets - Foreign Exchange eJournal","volume":"47 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2021-07-30","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"121651717","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

引用次数: 10

Decentralized Exchanges: The 'Wild West' of Cryptocurrency Trading 去中心化交易所:加密货币交易的“狂野西部”

Econometric Modeling: International Financial Markets - Foreign Exchange eJournal Pub Date : 2021-07-21 DOI: 10.2139/ssrn.3717330

Angelo Aspris, Sean Foley, Jiri Svec, Leqi Wang

引用次数: 31

Contagion Effect in ASEAN-5 Currency Markets During COVID-19 新冠肺炎疫情期间东盟五国货币市场的传染效应

Econometric Modeling: International Financial Markets - Foreign Exchange eJournal Pub Date : 2021-07-16 DOI: 10.2139/ssrn.3888001

Nur Ain Shahrier, Chung Tin Fah

{"title":"Contagion Effect in ASEAN-5 Currency Markets During COVID-19","authors":"Nur Ain Shahrier, Chung Tin Fah","doi":"10.2139/ssrn.3888001","DOIUrl":"https://doi.org/10.2139/ssrn.3888001","url":null,"abstract":"The aim of this study is to examine an existence of contagion in ASEAN-5 currency markets during COVID-19 period, the type of contagion whether it is pure contagion that happens in the short run only or fundamentals-based contagion in the long run and the country source of this contagion effect. The study starts by imposing structure to the regional exchange rates guided by variable lag Granger causality and variable lag Transfer Entropy, followed by co-integration and Error Correction Model (VECM) within the Structural VAR framework to capture the short run, long run and error correction term (ect) in currency market of ASEAN-5. The next empirical framework used is wavelet analysis specifically wavelet power spectrum and wavelet coherency to capture the multi scale time and frequency domain of currency market volatility and covariance respectively. The VECM findings show there exists long run cointegration in the ASEAN-5 currency markets during COVID-19 and any disequilibrium will be adjusted by Indonesian Rupiah, Malaysia Ringgit and Singapore Dollar at daily rate of adjustments of 6.58%, 1.47% and 2.45% respectively. The wavelet power spectrum provides evidence of short run and long run contagion effect in Indonesia, Malaysia and Singapore currency market, while Philippines and Thailand experience minimal contagion effect in the short run and heightened volatility in the long run for Thailand. No long run contagion effect for Philippines. The wavelet coherency shows contagion effect emanating from Indonesia Rupiah to its neighboring countries in the short and only to Thailand and Malaysia in the long run.","PeriodicalId":413816,"journal":{"name":"Econometric Modeling: International Financial Markets - Foreign Exchange eJournal","volume":"1 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2021-07-16","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"128984505","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

引用次数: 0

High-Frequency Connectedness between Bitcoin and Other Top-Traded Crypto Assets during the COVID-19 Crisis 在COVID-19危机期间，比特币与其他顶级加密资产之间的高频连通性

Econometric Modeling: International Financial Markets - Foreign Exchange eJournal Pub Date : 2021-06-21 DOI: 10.2139/ssrn.3871405

Paraskevi Katsiampa, L. Yarovaya, D. Zięba

引用次数: 43

Analyst Forecasts and Currency Markets 分析师预测和货币市场

Econometric Modeling: International Financial Markets - Foreign Exchange eJournal Pub Date : 2021-04-28 DOI: 10.2139/ssrn.3751418

Florian Mair

引用次数: 0

From Forecast to Decisions in Graphical Models: A Natural Gradient Optimization Approach 从预测到图形模型中的决策:自然梯度优化方法

Econometric Modeling: International Financial Markets - Foreign Exchange eJournal Pub Date : 2021-03-26 DOI: 10.2139/ssrn.3813403

E. Benhamou, D. Saltiel, B. Guez, J. Atif, R. Laraki

{"title":"From Forecast to Decisions in Graphical Models: A Natural Gradient Optimization Approach","authors":"E. Benhamou, D. Saltiel, B. Guez, J. Atif, R. Laraki","doi":"10.2139/ssrn.3813403","DOIUrl":"https://doi.org/10.2139/ssrn.3813403","url":null,"abstract":"Graphical models and in particular Hidden Markov Models or their continuous space equivalent, the so called Kalman filter model, are a powerful tool to make some inference that can be used in decision making contexts. The estimation of their parameters is usually based on the Expectation Maximization approach as this is a natural statistical way to train them. When used for decision making, it may be more relevant to find parameters that are relevant to our decisions rather than just try to fit the model from a statistical point of view. Hence, we can reformulate the determination of graphical model as an inference problem where the true concern is the quality of the decisions from the forecast given by the model. We show that the resulting optimization problem can be reformulated as an information geometric optimization problem and introduce a natural gradient descent strategy that incorporates additional meta parameters. We show that our approach is a strong alternative to the celebrated EM approach for learning in graphical models. Actually, our natural gradient based strategy leads to learning optimal parameters for the final objective function (which is our decision) without artificially trying to fit a distribution that may not correspond to the real one. We support our theoretical findings with the question of decision in financial markets and show that the learned model performs better than traditional practitioner methods and is less prone to overfitting.","PeriodicalId":413816,"journal":{"name":"Econometric Modeling: International Financial Markets - Foreign Exchange eJournal","volume":"4 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2021-03-26","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"133838250","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

引用次数: 2

Decentralized Finance (DeFi): An Emergent Alternative Financial Architecture 去中心化金融(DeFi):一种新兴的替代金融架构

Econometric Modeling: International Financial Markets - Foreign Exchange eJournal Pub Date : 2021-01-26 DOI: 10.2139/ssrn.3791921

Usman W. Chohan

引用次数: 26

Value-At-Risk Based Approach For Currency Hedging 基于风险价值的货币对冲方法

Econometric Modeling: International Financial Markets - Foreign Exchange eJournal Pub Date : 2021-01-15 DOI: 10.2139/ssrn.3767162

Rachna Khurana, Umang Khetan

{"title":"Value-At-Risk Based Approach For Currency Hedging","authors":"Rachna Khurana, Umang Khetan","doi":"10.2139/ssrn.3767162","DOIUrl":"https://doi.org/10.2139/ssrn.3767162","url":null,"abstract":"Corporate FX risk management has gained complexity with an increased number of currencies involved and varying correlations among them. Existing literature has highlighted the need to account for cross-currency correlations when optimizing hedge ratios for portfolio management (Dowd, 1999). In this paper, we propose a Value-at-Risk (VaR) based model to estimate the optimal hedge ratio for a multi-national corporate that aims to minimize the cost of hedging at a given tolerance level of expected loss arising out of FX movement. The paper illustrates both parametric and historical methods of VaR estimation at a portfolio level as the first step in risk management. As a second step, an efficient-frontier is derived based on the expected VaR level at various hedge ratios and compared with associated hedge cost. The benefits of this approach include: identification of net exposures after correlations among currencies are accounted for in order to avoid duplication of hedges, and condensation of the parameters governing hedging decision into a single, intuitively-appealing number. The paper also highlights the need to frequently update the model’s assumptions as currency correlations and corporate exposures remain dynamic. \u0000 \u0000JEL Classification Codes: C10, F31, G32, M20.","PeriodicalId":413816,"journal":{"name":"Econometric Modeling: International Financial Markets - Foreign Exchange eJournal","volume":"686 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2021-01-15","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"132584467","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

引用次数: 0

Are Global Exchange Traded Fund Pretentious on Exchange Rate Fluctuation? A Study Using GARCH Model 全球交易所交易基金对汇率波动矫情吗?GARCH模型的研究

Econometric Modeling: International Financial Markets - Foreign Exchange eJournal Pub Date : 2020-12-17 DOI: 10.21511/imfi.17(4).2020.30

Geeta E, Iqbal Thonse Hawaldar, V. BAI G., Mendon Suhan, Rajesha T.M.

{"title":"Are Global Exchange Traded Fund Pretentious on Exchange Rate Fluctuation? A Study Using GARCH Model","authors":"Geeta E, Iqbal Thonse Hawaldar, V. BAI G., Mendon Suhan, Rajesha T.M.","doi":"10.21511/imfi.17(4).2020.30","DOIUrl":"https://doi.org/10.21511/imfi.17(4).2020.30","url":null,"abstract":"Investors invest in a foreign market to reap the benefits of currency differences. The change in the value of underlying assets affects these hedged funds and, at the same time, restricts investors from higher return possible in unhedged funds. This study aims to examine the performance of most actively traded shares in Exchange Traded Fund and any influence, along with tracking the information from the index. This study also analyzes the currency fluctuation and its impact on returns and volatility of ETF and index. The equity ETF, which tracks NASDAQ (NDX 100), is chosen for the study, and the data analysis is carried out using statistical methods such as correlation, regression, and GARCH model. The study utilizes the currency rate data from 2013 to 2018 of USD, GBP, and INR and examines its effect on the NDX (NASDAQ). The study emphasizes whether the ETF as a basket of securities is insensitive to currency rate fluctuations. It is found that the response of ETF to the currency movements is likely due to its underlying index. The study concludes that Motilal Oswal shares in NASDAQ 100 ETF are highly sensitive to the NDX 100 movements; thus, there is no direct impact between ETF and index performance through exchange rate fluctuation.","PeriodicalId":413816,"journal":{"name":"Econometric Modeling: International Financial Markets - Foreign Exchange eJournal","volume":"65 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2020-12-17","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"132834309","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

引用次数: 2

Volatility Transmission and Volatility Impulse Response Functions in the Main and the Satellite Renminbi Exchange Rate Markets 人民币汇率主市场与卫星市场的波动传导与波动脉冲响应函数

Econometric Modeling: International Financial Markets - Foreign Exchange eJournal Pub Date : 2020-10-06 DOI: 10.1111/roie.12577

M. Funke, Julius Loermann, Andrew Tsang

引用次数: 2