Do Foreign Exchange Fund Managers Behave Like Positive Feedback Traders?

2011 ◽  
Author(s):  
Remco C. J. Zwinkels ◽  
Willem F. C. Verschoor
Keyword(s):  
Foreign Exchange ◽  
Positive Feedback ◽  
Fund Managers ◽  
Positive Feedback Traders

A NETWORK MODEL FOR FOREIGN EXCHANGE ARBITRAGE, HEDGING AND SPECULATION

2001 ◽  
Vol 04 (06) ◽  
pp. 837-852 ◽  
Author(s):  
C. KENNETH JONES
Keyword(s):  
Multinational Corporations ◽  
Foreign Exchange ◽  
Network Model ◽  
Foreign Exchange Market ◽  
Optimization Problem ◽  
Exchange Market ◽  
Fund Managers ◽  
Alternative Approach ◽  
International Banks ◽  
Trading Decisions

This paper presents alternative approach to foreign exchange market trading decisions. The model is equally applicable to the arbitrage practices of international banks, to the hedging decisions of multinational corporations, to the investment decisions of currency fund managers and to the uncovered positions of currency speculators. By using a network model to represent these situations complex problems can be modeled and the optimization problem required to maximize profit or eliminate risk can be accurately formulated.

Do foreign exchange fund managers behave like heterogeneous agents?

2013 ◽  
Vol 13 (7) ◽  
pp. 1125-1134 ◽  
Author(s):  
Willem F.C. Verschoor ◽  
Remco C.J. Zwinkels
Keyword(s):  
Foreign Exchange ◽  
Heterogeneous Agents ◽  
Fund Managers

1. Money, banking, and financial markets

2019 ◽  
pp. 1-11
Author(s):  
Mark H. A. Davis
Keyword(s):  
Credit Risk ◽  
Financial Markets ◽  
Foreign Exchange ◽  
Mathematical Finance ◽  
Fund Managers ◽  
Playing Field ◽  
The World ◽  
History Of ◽  
Futures And Options

‘Money, banking, and financial markets’ describes the playing field of mathematical finance: the world of money, banking, and financial markets. It considers the history of money as a medium of exchange and as a store of value, before discussing the activities of banks and financial markets. The financial markets, as a whole, provide a myriad of mechanisms for raising funds and managing and trading the attendant risks, providing opportunities for investors, fund managers and speculators. The main mechanisms of financial mechanisms are outlined: equities; bonds; credit risk; foreign exchange; and forwards, futures, and options.

scholarly journals Momentum Periods of Feedback Trading toward Exchange Rate Volatility

2021 ◽  
Author(s):  
Ivan Sudibyo ◽  
Aulia Keiko
Keyword(s):  
Exchange Rate ◽  
Positive Feedback ◽  
Dominant Role ◽  
Exchange Rate Volatility ◽  
The Philippines ◽  
Brunei Darussalam ◽  
The Exchange Rate ◽  
Asean Countries ◽  
Positive Feedback Traders ◽  
Feedback Trading

In this paper, the authors apply empirical evidence to demonstrate how important positive feedback trading factors in understanding exchange rate behavior. Utilizing the GARCH augmented feedback model, or the exchange rate model set out by Laopodis (2005), the author analyzes autocorrelation in exchange rate parameters and volatility in key ASEAN markets to yield the deeper understanding of momentum periods. The authors contend that positive feedback traders affect exchange rate volatility in ASEAN countries and induce the autocorrelation of negative returns within high exchange rate volatility. This study found that Singapore demonstrated a significant positive feedback trading during the period 1995-2014, while the authors further contend that Thailand, Indonesia, Malaysia, the Philippines, Brunei Darussalam, and Singapore also demonstrated positive feedback trading during the 1997-1998 Asian financial crisis. In addition to analyzing the positive feedback trading on exchange rate volatility, we also identify the exchange rate volatility spillover across the ASEAN countries. Related to this context, we found that Indonesia and Thailand play a dominant role as a dominant exchange rate volatility transmitter in the ASEAN region.

scholarly journals Pension fund managers behavior in the foreign exchange market

2006 ◽  
Author(s):  
Hernando Vargas-Herrera ◽  
Yanneth Rocío Betancourt-García
Keyword(s):  
Foreign Exchange ◽  
Foreign Exchange Market ◽  
Pension Fund ◽  
Exchange Market ◽  
Fund Managers
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