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Detecting Arbitrage in the Foreign Exchange Market

Cui, Zhenyu - 2018

) arbitrage opportunities among spot currency exchange rates in a foreign exchange market. We obtain sufficient conditions for … excluding the triangular arbitrage opportunities in a market with or without market frictions, i.e. transaction costs. Then we … propose a very efficient computational approach not only to detect triangular arbitrage opportunities in real time but also to …

Persistent link: https://www.econbiz.de/10012921244

Foreign Exchange Dealer Asset Pricing

Reitz, Stefan - 2019

We show that excess returns to the carry trade can be interpreted as compensation for foreign exchange dealers' capital risk. Given that the top market makers in foreign exchange are at the heart of the market's information aggregation process we also suggest that it is their marginal value of...

Persistent link: https://www.econbiz.de/10012860811

Foreign exchange dealer asset pricing

Reitz, Stefan; Umlandt, Dennis - 2019

Persistent link: https://www.econbiz.de/10012109710

The pricing of unexpected volatility in the currency market

Lu, Wenna; Copeland, Laurence S.; Xu, Yongdeng - 2021

Many recent papers have investigated the role played by volatility in determining the cross-section of currency returns. This paper employs two time-varying factor models: a threshold model and a Markov-switching model to price the excess returns from the currency carry trade. We show that the...

Persistent link: https://www.econbiz.de/10012591966

Predictability of Currency Carry Trades and Asset Pricing Implications

Bakshi, Gurdip S. - 2012

This paper studies the time-series predictability of currency carry trades, constructed by selecting currencies to be bought or sold against the U.S. dollar, based on forward discounts. Changes in a commodity index, currency volatility and, to a lesser extent, a measure of liquidity predict...

Persistent link: https://www.econbiz.de/10013113110

Peso-Dollar forward market analysis : explaining arbitrage opportunities during the financial crisis

Hernández, Juan R. - 2014

Using a vector error correction model I test whether shocks in the funding liquidity conditions in the U.S. and Europe separately explain deviations from the covered interest parity (CIP) between the U.S. Dollar and the Mexican Peso. I find that: (1) Apparent deviations from the CIP seem to be...

Persistent link: https://www.econbiz.de/10010370903

Variance risk premiums in foreign exchange markets

Ammann, Manuel; Buesser, Ralf - 2013

Based on the theory of static replication of variance swaps we assess the sign and magnitude of variance risk premiums in foreign exchange markets. We find significantly negative risk premiums when realized variance is computed from intraday data with low frequency. As a likely consequence of...

Persistent link: https://www.econbiz.de/10010410031

An Investigation of Price Discovery and Volatility Spillovers in India's Foreign Exchange Market

Sehgal, Sanjay - 2014

In a period of strong upheavals in India's foreign exchange market, the present study investigates the price discovery and volatility spillovers between spot and futures prices of four major international currencies traded on two trading platforms in India. The price discovery results confirm...

Persistent link: https://www.econbiz.de/10013056400

Country News Sentiment Factors Predict Forex Prices

Hafez, Peter - 2013

In this study, we test a set of country macro sentiment indexes that measure the trailing sentiment on both scheduled and unscheduled economic and geopolitical news events. We develop a cross-over strategy in the FX market based on short to long-term news sentiment inflection points covering the...

Persistent link: https://www.econbiz.de/10013081446

The Exchange of Flow Toxicity

Easley, David - 2019

Flow toxicity can be measured in terms of the probability that a liquidity provider is adversely selected by informed traders. In previous papers we introduced the concept of Volume-synchronized Probability of Informed Trading (the VPIN* metric), and provided a robust estimation procedure. In...

Persistent link: https://www.econbiz.de/10012905964