scholarly journals The Forex Trading System for Speculation with Constant Magnitude of Unit Return

Mathematics ◽  
2019 ◽  
Vol 7 (7) ◽  
pp. 623 ◽  
Author(s):  
Piasecki ◽  
Stasiak
Keyword(s):  
Exchange Rate ◽  
Risk Premium ◽  
Risk Index ◽  
Success Probability ◽  
Return Rate ◽  
Trading System ◽  
Base Exchange ◽  
Trading Systems ◽  
Constant Magnitude ◽  
Exchange Medium

The main purpose of this article is to investigate a speculative trading system with a constant magnitude of return rate. We consider speculative operations related to the exchange rate given as the quotient of the base exchange medium by the quoted currency. An exchange medium is understood as any currency or any precious metal. The unit return is defined as the return expressed in the quoted currency by the amount of base exchange medium. All possible states of the exchange market form a finite elemental space. All knowledge about the dynamics of this market is presented as a prediction table describing the conditional probability distributions of incoming exchange rate changes. On the other hand, in the proposed trading system each speculative operation is concluded in such a way that the gross payment is determined by the given magnitude of unit return. The paper contains an analysis of the following evaluation criteria: annual number of transaction, success probability, expected unit payment, expected unit profit, risk index, unit risk premium, return rate, interest rate, and interest risk premium. Both of these indices can be used to select the effective trading systems. Effectiveness is considered in the local sense and in the global sense.

scholarly journals Optimization Parameters of Trading System with Constant Modulus of Unit Return

Mathematics ◽  
2020 ◽  
Vol 8 (8) ◽  
pp. 1384 ◽  
Author(s):  
Krzysztof Piasecki ◽  
Michał Dominik Stasiak
Keyword(s):  
Exchange Rate ◽  
Probability Distributions ◽  
Risk Index ◽  
Binary Representation ◽  
Constant Modulus ◽  
Trading System ◽  
Base Exchange ◽  
Optimization Parameters ◽  
Exchange Medium

The unit return is determined as the return in the quotation currency (QCR) per the unit of base exchange medium (BEM). The main purpose is to examine the applicability of a trading system with a constant modulus of unit return (CMUR). The CMUR system supports speculative operations related to the exchange rate, given as the BEM quotation per the QCR. Premises for investment decisions are based on knowledge about the quotation dynamics described by its binary representation. This knowledge is described by a prediction table containing the conditional probability distributions of exchange rate increments. Any prediction table depends on observation range. Financial effectiveness of any CMUR system is assessed in the usual way by interest rate and risk index based on Shannon entropy. The main aim of our paper is to present algorithms which may be used for selecting effective CMUR systems. Required unit return modulus and observation range are control parameters applied for management of CMUR systems. Optimal values of these parameters are obtained by implementation of the proposed algorithm. All formal considerations are illustrated by an extensive case study linked to gold trading.

The long-run stability of a small, open economy under crawling peg regime

2002 ◽  
Vol 52 (1) ◽  
pp. 57-78
Author(s):  
S. Çiftçioğlu
Keyword(s):  
Exchange Rate ◽  
Open Economy ◽  
Risk Premium ◽  
Small Open Economy ◽  
Exchange Rate Policy ◽  
Price Stability ◽  
Output Stability ◽  
Long Run ◽  
The Exchange Rate ◽  
The Impact

The paper analyses the long-run (steady-state) output and price stability of a small, open economy which adopts a “crawling-peg” type of exchange-rate regime in the presence of various kinds of random shocks. Analytical and simulation results suggest that with the exception of money demand shocks, an exchange rate policy which involves a relatively higher rate of indexation of the exchange rate to price level is likely to lead to the worsening of price stability for all types of shocks. On the other hand, the impact of adopting such a policy on output stability depends on the type of the shock; for policy shocks to the exchange rate and shocks to output demand, output stability is worsened whereas for the shocks to risk premium of domestic assets, supply price of domestic output and the wage rate, better output stability is achieved in the long run.

scholarly journals AN EMPIRICAL STUDY ON THE DYNAMIC RELATIONSHIP BETWEEN CRUDE OIL PRICES AND NIGERA STOCK MARKET

2016 ◽  
Vol 4 (9) ◽  
pp. 157-169
Author(s):  
Rabia Najaf ◽  
Khakan Najaf
Keyword(s):  
Exchange Rate ◽  
Crude Oil ◽  
Stock Exchange ◽  
Oil Prices ◽  
Securities And Exchange Commission ◽  
Exchange Rate Policy ◽  
Trading System ◽  
Dynamic Relationship ◽  
Crude Oil Prices ◽  
Oil Crisis

In this paper, we have examined the crude oil price on the performance of Nigerian stock exchange and exchange rate act as the plausible countercyclical tool .we have applied the different models and collected the results that crude oil prices have direct impact on the stock exchange of Nigeria. The   Nigeria stock exchange is regulated by the Securities and Exchange Commission .Nigeria stock exchange has the automated trading system. The basic facility of Nigeria trading system is (ATS),it is helpful to remote trading system.Consequently, most of the investorsdo trade with the method of ATS.This study is also proving that Nigeria stock exchange has influenced on the performance of the economy, Impact of oil crisis on the Nigeria stock exchange, Impact of crude oil crisis on the development of country, Effect of exchange rate policy on the performance of Nigeria stock exchange.

scholarly journals Canadian Challenges in Implementing the Kyoto Protocol: A Cause for Harmonization

2020 ◽  
Author(s):  
Elisabeth DeMarco ◽  
Robert Routliffe ◽  
Heather Landymore
Keyword(s):  
Kyoto Protocol ◽  
Emissions Trading ◽  
Legal Issues ◽  
Current Status ◽  
Trading System ◽  
Trading Systems ◽  
Legal Context ◽  
Ghg Reduction ◽  
The Impact ◽  
Emissions Trading System

On 17 December 2002, Canada ratified the Kyoto Protocol to the United Nations Framework Convention on Climate Change (Kyoto Protocol), taking on binding targets to reduce Canadian emissions of greenhouse gases (GHGs). Canada's ratification decision and the proposed domestic emissions trading system forming part of Canada's Kyoto implementation plan continue to be the source of considerable disagreement and conflict between the provinces and thefederal government regarding: the practical challenges associated with multiple Canadian jurisdictions implementing emissions trading systems: the current status and legal issues associated with covenants between industry and government(s) to enforce GHG reduction targets; the legal jurisdiction over domestic emissions trading system(s); and the impact on interprovincial and international trade. Each ofthese issues is examined in the unique Canadian legal context. The authors conclude that many ofthe most significant challenges may be mitigated through harmonization and coordination byfederal and provincial governments in a manner that allows for local concerns to be addressed without fragmenting the Canadian emissions markets.

The long-run effects of geopolitical risk on foreign exchange markets: evidence from some ASEAN countries

2021 ◽  
Vol ahead-of-print (ahead-of-print) ◽  
Author(s):  
Hon Chung Hui
Keyword(s):  
Exchange Rate ◽  
Exchange Rates ◽  
Foreign Exchange ◽  
Risk Index ◽  
Foreign Exchange Markets ◽  
Content Type ◽  
Long Run ◽  
Exchange Markets ◽  
Exchange Rate Models ◽  
Asean Countries

PurposeThe purpose of this paper is to analyse the long-run relationship between geopolitical risk and exchange rates in four ASEAN countries.Design/methodology/approachWe augment theoretical nominal exchange rate models available in the literature with the geopolitical risk index developed by Caldara and Iacoviello (2019), and then estimate these models using the ARDL approach to Cointegration.FindingsOur analysis uncovers evidence of Cointegration in the exchange rate models when the MYR-USD, IDR-USD, THB-USD and PHP-USD exchange rates are used as dependent variable. Next, geopolitical risk is a significant long-run driver for these exchange rates. Third, in all countries higher geopolitical risk leads to a depreciation of domestic currency.Research limitations/implicationsThere are implications for entrepreneurs, central banks, portfolio managers and arbitrageurs who actively trade in financial markets. Financial market players can benefit from a better understanding of how geopolitical events affect the portfolio of financial assets across various countries, while entrepreneurs can work out hedging strategies.Originality/valueThis is a contribution to the study of interlinkages between political risk and foreign exchange markets. It is the first study to adopt the geopolitical risk index of Caldara and Iacoviello (2019) to the study the foreign exchange markets of ASEAN countries.

Survey of Trading Systems for Individual Investors

2011 ◽  
pp. 157-176 ◽  
Author(s):  
M. Kersch ◽  
G. Schmidt
Keyword(s):  
Financial Markets ◽  
Stock Exchange ◽  
Point Of View ◽  
Individual Investors ◽  
Individual Investor ◽  
Trading System ◽  
Trading Systems ◽  
Trading Decisions ◽  
The Individual

Trading decisions in financial markets can be supported by the use of trading algorithms. To evaluate trading algorithms and to generate orders to be executed on the stock exchange trading systems are used. In this chapter, we define the individual investors’ requirements on a trading system, and analyze 17 trading systems from an individual investor’s point of view. The results of our study point out that the best alternative for an individual investor is not one single trading system, but a combination of two different classes of trading systems.

The nature of the shock matters: NiGEM estimations of the macroeconomic effects of recent dollar and euro fluctuations

2018 ◽  
Vol 244 ◽  
pp. R30-R38 ◽  
Author(s):  
Sophie Haincourt
Keyword(s):  
Exchange Rate ◽  
Risk Premium ◽  
Structural Model ◽  
Domestic Activity ◽  
Exchange Rate Fluctuations ◽  
Effective Exchange ◽  
Exchange Markets ◽  
Exchange Rate Shocks ◽  
Effective Exchange Rate ◽  
The Impact

Exchange rate fluctuations have been particularly large since mid-2014, displaying divergent developments across the period. The nominal effective exchange rate of the dollar has appreciated by 15 per cent since June 2014, masking a 25 per cent appreciation to December 2016 followed by a depreciation of 8 per cent. Changes in the euro have turned positive after being negative. This article attempts to measure the impact of currency changes on domestic activity, accounting for the source of fluctuations. More specifically, by using the multi-country structural model NiGEM, we show that different types of exchange rate shocks can have different macroeconomic outcomes. Focusing on the period from January 2017 to February 2018, we show that the depreciation of the dollar, stemming mostly from changes in sentiment in foreign exchange markets, would in fact have been detrimental to US growth. A weaker currency, in this particular case, turned out to be no recipe for stronger growth. Similarly, the appreciation of the euro, triggered by a fall in the risk premium of the currency, may have been positive for growth. There are caveats to the exercise, but the results are nonetheless consistent with previous research pointing to the importance of the nature of the exchange rate shocks in estimating their impact on prices and growth.

Laws and Regulations on Proprietary Trading System (PTS) in Japan

2009 ◽  
pp. 1289-1308
Author(s):  
Motoaki Tazawa
Keyword(s):  
United States ◽  
Information Technologies ◽  
The United States ◽  
Stock Exchanges ◽  
Trading System ◽  
Electronic Communications ◽  
Trading Systems ◽  
Proprietary Trading ◽  
Securities Business ◽  
The U.S

In order to improve convenience for investors through competition among stock exchanges, operation of Proprietary Trading Systems (PTS) was authorized as a form of securities business under the Securities and Exchange Act. The Japanese PTS is equivalent to ATS (Alternative Trading System), ECN (Electronic Communications Network) in the United States and MTF (Multilateral Trading Facilities) under MiFID in the EU. In 1998, ATS and ECN had already started in the United States and Japan’s PTS followed the U.S. model. Telecommunication and information technologies and computer technologies made PTS possible, and PTS makes the border between the market and brokers ambiguous. Traditional regulations on broker-dealers and stock exchanges will inevitably be reviewed and regulations on securities markets will have to be reformed.

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