the proposed mathematical models for decision- making and forecasting on euro- yen in foreign exchange market

The Proposed Mathematical Models For Decision- Making And Forecasting On Euro- Yen In Foreign Exchange Market

a study on rate making and required reserves determination in reinsurance market: a simulation

reinsurance is widely recognized as an important instrument in the capital management of an insurance company as well as its risk management tool. this thesis is intended to determine premium rates for different types of reinsurance policies. also, given the fact that the reinsurance coverage of every company depends upon its reserves, so different types of reserves and the method of their calc...

Market Making in the Interbank Foreign Exchange Market

This paper studies the market making behavior of FX dealers in the interbank market which is characterized by high trade volume and decentralized market structure. The dataset for my empirical estimation is based on the complete trade records of a FX dealer at a major commercial bank over 25 trading days. The dealer is among the five largest DM/$ dealers in the world, and the composition of his...

Fuzzy ARIMA model for forecasting the foreign exchange market

Considering the time-series ARIMA(p,d, q) model and fuzzy regression model, this paper develops a fuzzy ARIMA (FARIMA) model and applies it to forecasting the exchange rate of NT dollars to US dollars. This model includes interval models with interval parameters and the possibility distribution of future values is provided by FARIMA. This model makes it possible for decision makers to forecast ...

News announcements, market activity and volatility in the euro/dollar foreign exchange market

We study the impact of nine categories of scheduled and unscheduled news announcements on the euro/ dollar return volatility. We highlight and analyze the pre-announcement, contemporaneous and postannouncement reactions. Using high-frequency intraday data and within the framework of ARCH-type models, we show that volatility increases in the pre-announcement periods, particularly before schedule...

announcements , market activity and volatility in the Euro / Dollar foreign exchange market

This paper deals with the impact of nine categories of scheduled and unscheduled news announcements on the Euro/Dollar return volatility. We highlight and analyze the pre-announcement, contemporaneous and postannouncement reactions. Using high-frequency intraday data and within the framework of ARCH-type and realized volatility models, we show that volatility increases in the pre-announcement p...