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Understanding Latent Group Structure of Cryptocurrencies Market: A Dynamic Network Perspective 理解加密货币市场的潜在群体结构:一个动态网络的视角
ERN: Other Econometric Modeling: International Financial Markets - Foreign Exchange (Topic) Pub Date : 2018-05-24 DOI: 10.2139/ssrn.3658206
Li Guo, Yubo Tao, W. Härdle
{"title":"Understanding Latent Group Structure of Cryptocurrencies Market: A Dynamic Network Perspective","authors":"Li Guo, Yubo Tao, W. Härdle","doi":"10.2139/ssrn.3658206","DOIUrl":"https://doi.org/10.2139/ssrn.3658206","url":null,"abstract":"In this paper, we study the latent group structure in cryptocurrencies market by forming a dynamic return inferred network with coin attributions. We develop a dynamic covariate-assisted spectral clustering method to detect the communities in dynamic network framework and prove its uniform consistency along the horizons. Applying our new method, we show the return inferred network structure and coin attributions, including algorithm and proof types, jointly determine the market segmentation. Based on the network model, we propose a novel hard-to-value\" measure using the centrality scores. Further analysis reveals that the group with a lower centrality score exhibits stronger short-term return reversals. Cross-sectional return predictability further conrms the economic meanings of our grouping results and reveal important portfolio management implications.","PeriodicalId":445453,"journal":{"name":"ERN: Other Econometric Modeling: International Financial Markets - Foreign Exchange (Topic)","volume":"44 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2018-05-24","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"124124222","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: 4
Order Flow, Volatility and Fuzzy Logic: Technical Analyses for Currency Trading 订单流、波动性和模糊逻辑:货币交易的技术分析
ERN: Other Econometric Modeling: International Financial Markets - Foreign Exchange (Topic) Pub Date : 2017-05-15 DOI: 10.2139/ssrn.2976558
Vincent M. Kleinbrod, Xiaoming Li
{"title":"Order Flow, Volatility and Fuzzy Logic: Technical Analyses for Currency Trading","authors":"Vincent M. Kleinbrod, Xiaoming Li","doi":"10.2139/ssrn.2976558","DOIUrl":"https://doi.org/10.2139/ssrn.2976558","url":null,"abstract":"This paper proposes a multivariate fuzzy logic approach to boosting the profitability of technical analysis for currency trading. The approach incorporates information on underlying market volatility in addition to order-flow-based exchange-rate return forecasts. We show the superiority of our approach by comparing it with the performances of various strategies such as simple trading rules and neural-fuzzy-logic trading rules proposed in the literature. Our approach yields consistently and remarkably higher Sharpe ratios for all the three major and all the three commodity exchange rates investigated. The results provide currency traders with a useful guide to conceiving profitable trading strategies.","PeriodicalId":445453,"journal":{"name":"ERN: Other Econometric Modeling: International Financial Markets - Foreign Exchange (Topic)","volume":"27 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2017-05-15","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"114552340","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
Raising of Resources from the Capital Market in India 印度资本市场资源的筹集
ERN: Other Econometric Modeling: International Financial Markets - Foreign Exchange (Topic) Pub Date : 2017-05-07 DOI: 10.2139/ssrn.3493046
Arjun Pal
{"title":"Raising of Resources from the Capital Market in India","authors":"Arjun Pal","doi":"10.2139/ssrn.3493046","DOIUrl":"https://doi.org/10.2139/ssrn.3493046","url":null,"abstract":"Resources can be mobilized either for short term or for long term. Economy consists of huge number of enterprises and individuals, requirements of all of them differ. Some have surplus cash to save, while some other needs cash. Some firms/individuals wants to make good there short term liquidity requirements, some wants money for long term capital investment. So distinction can be made as to period for which one intends to lend or borrow. In this sense financial market is categorized into money market and capital markets. In Money market, period involved (for funds movement) is 1 year or less, while in capital markets period is generally more than 1 year. \u0000 \u0000In this paper, we’ll be specifically looking at the different ways in which resources can be raised from the capital market in India.","PeriodicalId":445453,"journal":{"name":"ERN: Other Econometric Modeling: International Financial Markets - Foreign Exchange (Topic)","volume":"115 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2017-05-07","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"123103125","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
Uncertainty, Currency Excess Returns, and Risk Reversals 不确定性、货币超额收益和风险逆转
ERN: Other Econometric Modeling: International Financial Markets - Foreign Exchange (Topic) Pub Date : 2017-02-01 DOI: 10.17016/IFDP.2017.1196
Lucas Husted, J. Rogers, Bo Sun
{"title":"Uncertainty, Currency Excess Returns, and Risk Reversals","authors":"Lucas Husted, J. Rogers, Bo Sun","doi":"10.17016/IFDP.2017.1196","DOIUrl":"https://doi.org/10.17016/IFDP.2017.1196","url":null,"abstract":"In this paper we provide strong evidence that heightened uncertainty in the U.S. real economy or financial markets significantly raises excess returns to the currency carry trade. We posit that this works through the influence of uncertainty on global investors' risk preferences. Macro and financial uncertainty also lower foreign exchange risk reversals, an effect that is particularly strong for high interest rate portfolios. Our results are consistent with the idea that an increase in uncertainty regarding the U.S. economy or financial markets increases investors' risk aversion, which in turn drives up the expected returns and the cost of protection against crash risk in the FX market.","PeriodicalId":445453,"journal":{"name":"ERN: Other Econometric Modeling: International Financial Markets - Foreign Exchange (Topic)","volume":"26 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2017-02-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"131396201","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: 47
Daily Currency Interventions in Emerging Markets: Incorporating Reserve Accumulation to the Reaction Function 新兴市场每日货币干预:将储备积累纳入反应函数
ERN: Other Econometric Modeling: International Financial Markets - Foreign Exchange (Topic) Pub Date : 2016-10-01 DOI: 10.2139/ssrn.3005956
Michael Frömmel, Murat Midiliç
{"title":"Daily Currency Interventions in Emerging Markets: Incorporating Reserve Accumulation to the Reaction Function","authors":"Michael Frömmel, Murat Midiliç","doi":"10.2139/ssrn.3005956","DOIUrl":"https://doi.org/10.2139/ssrn.3005956","url":null,"abstract":"Abstract Understanding the intervention policy of central banks on currency markets is important for both practitioners and researchers. Existing models for central bank interventions exclusively focus on exchange rate targeting in level or volatility. However, central banks in emerging economies use international reserves as an insurance against sudden capital outflows and use interventions to manage them. Omitting the reserve component in the reaction function may therefore lead to a bias and wrong conclusions. We therefore extend the reaction function by incorporating a reserve component and illustrate its benefit by applying it to the case of Turkey. We find that the intervention policy of the Turkish Central Bank indeed incorporated interventions to manage their reserves and is therefore better described by our extended model. Furthermore it provides a more accurate description of changes in the central bank’s policy. Our results strongly suggest to incorporate reserve variables in intervention functions for emerging countries.","PeriodicalId":445453,"journal":{"name":"ERN: Other Econometric Modeling: International Financial Markets - Foreign Exchange (Topic)","volume":"84 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2016-10-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"134539282","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: 3
System-Wide Volatility Connectedness and Carry Trades 全系统波动连通性和套息交易
ERN: Other Econometric Modeling: International Financial Markets - Foreign Exchange (Topic) Pub Date : 2016-07-07 DOI: 10.2139/ssrn.2777041
Katja I. M. Gisler
{"title":"System-Wide Volatility Connectedness and Carry Trades","authors":"Katja I. M. Gisler","doi":"10.2139/ssrn.2777041","DOIUrl":"https://doi.org/10.2139/ssrn.2777041","url":null,"abstract":"I empirically examine the system-wide volatility connectedness risk of currencies as an explanation for the risk premium of carry trade returns. Carry trade strategies exploit the forward premium puzzle by borrowing in low interest rate currencies and investing in high interest currencies without losing the generated gain to a corresponding change in exchange rates. I find that system-wide volatility connectedness risk carries a significant and negative risk premium. That is, low interest rate currencies are positively related to system-wide volatility connectedness risk, while high interest rate currencies display a negative correlation. Low interest rate currencies thus serve as a hedge during unexpectedly high system-wide volatility connectedness episodes, indicating bad states of the world. In contrast, high interest rate currencies perform particularly poorly during these periods.","PeriodicalId":445453,"journal":{"name":"ERN: Other Econometric Modeling: International Financial Markets - Foreign Exchange (Topic)","volume":"264 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2016-07-07","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"122715139","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 Precious Metals a Hedge Against Exchange-Rate Movements? An Empirical Exploration Using Bayesian Additive Regression Trees 贵金属是汇率波动的对冲工具吗?贝叶斯加性回归树的实证研究
ERN: Other Econometric Modeling: International Financial Markets - Foreign Exchange (Topic) Pub Date : 2016-01-29 DOI: 10.2139/ssrn.2643152
Christian Pierdzioch, M. Risse, Sebastian Rohloff
{"title":"Are Precious Metals a Hedge Against Exchange-Rate Movements? An Empirical Exploration Using Bayesian Additive Regression Trees","authors":"Christian Pierdzioch, M. Risse, Sebastian Rohloff","doi":"10.2139/ssrn.2643152","DOIUrl":"https://doi.org/10.2139/ssrn.2643152","url":null,"abstract":"We use Bayesian additive regression trees to reexamine whether investments in precious metals are a hedge against exchange-rate movements. We quantify the relative importance of several major exchange rates, and we study how the marginal effects differ across times of appreciations/depreciations and across times of small/large exchange-rate fluctuations. Results show that investments in gold and silver are strong hedges against depreciations of major exchange rates. The hedging properties of palladium and platinum are mainly confined to the Australian dollar and Canadian dollar. We also study whether precious metals investments are a safe-haven in times of large exchange-rate movements.","PeriodicalId":445453,"journal":{"name":"ERN: Other Econometric Modeling: International Financial Markets - Foreign Exchange (Topic)","volume":"544 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2016-01-29","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"127128978","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: 33
Bond Market Evidence of Time Variation in Exposures to Global Risk Factors and the Role of US Monetary Policy 债券市场对全球风险因素敞口的时间变化证据和美国货币政策的作用
ERN: Other Econometric Modeling: International Financial Markets - Foreign Exchange (Topic) Pub Date : 2016-01-19 DOI: 10.2139/ssrn.2718180
Thomas Nitschka
{"title":"Bond Market Evidence of Time Variation in Exposures to Global Risk Factors and the Role of US Monetary Policy","authors":"Thomas Nitschka","doi":"10.2139/ssrn.2718180","DOIUrl":"https://doi.org/10.2139/ssrn.2718180","url":null,"abstract":"This paper empirically shows that US monetary policy influences present and future exposures of developed markets' government bond returns to measures of global, systematic risk and thus affects the time variation of returns on these countries' government bonds. This finding illustrates US monetary policy spillovers to foreign assets that serve as financial market benchmarks and are at the centre of recent financial stability regulations. From an asset pricing perspective, the evidence highlights that exchange rate risk and time variation in sensitivities to global bond and exchange rate risk are important to describe time variation in developed markets' government bond returns.","PeriodicalId":445453,"journal":{"name":"ERN: Other Econometric Modeling: International Financial Markets - Foreign Exchange (Topic)","volume":"16 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2016-01-19","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"128403742","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: 4
Exchange Rate Predictability and the Skewness of Bid-Ask Spreads 汇率的可预测性和买卖价差的偏性
ERN: Other Econometric Modeling: International Financial Markets - Foreign Exchange (Topic) Pub Date : 2015-11-23 DOI: 10.2139/ssrn.2605544
Oghenovo A. Obrimah
{"title":"Exchange Rate Predictability and the Skewness of Bid-Ask Spreads","authors":"Oghenovo A. Obrimah","doi":"10.2139/ssrn.2605544","DOIUrl":"https://doi.org/10.2139/ssrn.2605544","url":null,"abstract":"I find, regardless of the exchange rate series utilized, that the incorporation of conditional (predicted) skewness as an exogenous variable in ARCH models of the exchange rate process induces significant decreases in the price of exchange rate volatility risk alongside decreases in the risk that dealers will incur losses in transactions with informed traders. In out-of-sample tests, I find ARCH models that incorporate the conditional skewness factor (augmented ARCH models) have better forecast power in relation to ARCH models that exclude the conditional skewness factor (non-augmented ARCH models) only within a low risk foreign exchange market. In aggregate, empirical findings provide evidence of an inverse relation between market risk and market efficiency within the cross-section of foreign exchange markets. This inverse relation is not predicted by theories of market efficiency or theories of intertemporal risk-return trade-offs, but can be induced by market frictions within foreign exchange markets.","PeriodicalId":445453,"journal":{"name":"ERN: Other Econometric Modeling: International Financial Markets - Foreign Exchange (Topic)","volume":"14 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2015-11-23","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"129979575","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: 1
Conditioning Carry Trades: Less Risk, More Return! 条件套息交易:低风险，高回报!
ERN: Other Econometric Modeling: International Financial Markets - Foreign Exchange (Topic) Pub Date : 2015-07-30 DOI: 10.2139/ssrn.2637837
A. Mulder, Ben Tims
{"title":"Conditioning Carry Trades: Less Risk, More Return!","authors":"A. Mulder, Ben Tims","doi":"10.2139/ssrn.2637837","DOIUrl":"https://doi.org/10.2139/ssrn.2637837","url":null,"abstract":"Prior studies show that extreme interest rate differentials (IRDs) and high foreign exchange rate (FX) volatility have substantial explanatory power for the validity of UIP. We show that these contemporaneous drivers also have predictive power by implementing a conditional currency carry trade (CT) strategy that excludes regimes for which UIP is likely to hold. Conditioning high FX volatility only, or on both FX volatility and extreme IRDs outperforms the base-case unconditional CT strategy in virtually any of the settings analyzed. Conditioning on very large IRDs only shows mixed findings. Our strategy works best for smaller CT portfolios.","PeriodicalId":445453,"journal":{"name":"ERN: Other Econometric Modeling: International Financial Markets - Foreign Exchange (Topic)","volume":"18 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2015-07-30","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"125122144","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
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