Essays about: "FX-Markets"

Found 5 essays containing the word FX-Markets.

1. 1. Fractional Cointegration and Price Discovery in FX Markets

   University essay from Handelshögskolan i Stockholm/Institutionen för nationalekonomi

   Author : Johan Faxner; [2023]
   Keywords : exchange rates; price discovery; fractional cointegration; market microstructure; covered interest rate parity;

   Abstract : I employ bivariate fractionally cointegrated vector autoregressive models to analyze price discovery on the EUR/GBP market. Using daily spot rates between 2010 and 2022 along with corresponding one-month and three-month forward rates, I extract parameter estimates for pairwise long-run relationships, each pair containing a spot and a forward. READ MORE

3. 2. The Carry Trade: From 1990 to 2020

   University essay from

   Author : Adam Bergin; Philip Thorsell; [2020-06-30]
   Keywords : Carry Trade; UIP; CIP; FX-Markets; Premium Puzzle; American Carry trade; Chief dealer back trade;

   Abstract : This thesis examines the carry trade movements from 1990 to 2020. The purpose is to evaluate how an actively managed carry trade has behaved during different market conditions. READ MORE

4. 3. Predicting Short-Term ExtremeMovements in FX-markets Using Neural Networks

   University essay from KTH/Matematisk statistik

   Author : Oscar Jagermark; [2018]
   Keywords : ;

   Abstract : This thesis applies deep neural networks with complex feature inputs in an attempt to predict extreme price movements of up to 20 seconds in the EUR/USD exchange rate. The results show that neural networks do have predictive power in this application, and could potentially be used in con-junction with other models to predict the movements of the FX-market in ahigh-frequencytrading environment. READ MORE

5. 4. A Study of the Price Distribution in Foreign Exchange

   University essay from Umeå universitet/Institutionen för matematik och matematisk statistik

   Author : Joakim Fernander; Jacob Norrman; [2016]
   Keywords : ;

   Abstract : The aim of this thesis was to develop models that can indicate at what relativelevel orders should be placed to obtain a specific market share in foreign exchange(FX). This was conducted at the E-markets department at SkandinaviskaEnskilda Banken (SEB). To understand how trades occur, the Skew-function wasdeveloped. READ MORE

6. 5. Adding commodity futures to the Swedish stock portfolio, A good strategy for better diversification?

   University essay from Lunds universitet/Nationalekonomiska institutionen

   Author : Daniel Olsson; [2007]
   Keywords : GARCH; correlation; commodity; future; BEKK; Economics; econometrics; economic theory; economic systems; economic policy; Nationalekonomi; ekonometri; ekonomisk teori; ekonomiska system; ekonomisk politik; Business and Economics;

   Abstract : By using data from Ecovision on the DJ AIG commodity index made up of commodity futures and the OMX index consisting of Swedish equities I have estimated the correlation between Swedish equities and US commodity futures. The correlation has been examined in a multivariate GARCH setting by using the BEKK model. READ MORE