Electronic Foreign-exchange Markets and Passage Events of Independent Subordinators
ثبت نشده
چکیده
We set up a model for electronic foreign-exchange markets, suggesting subordinators to represent sellers’ and buyers’ offers. Its analysis naturally leads to the study of level passage events. The classical level passage event concerns the joint law of the time, height, and jump size observed when a real-valued stochastic process first exceeds a given level h. We provide an up-to-date treatment in the case when this process is a subordinator, and extend these results to a multivariate setting.
منابع مشابه
The Influence of Structural Changes in Volatility on Shock Transmission and Volatility Spillover among Iranian Gold and Foreign Exchange Markets
متن کامل
Do Futures Lead Price Discovery in Electronic Foreign Exchange Markets?
Using intra-day data, this paper investigates the contribution to the price discovery of Euro and Japanese Yen exchange rates in three foreign exchange markets based on electronic trading systems: the CME GLOBEX regular futures, E-mini futures, and the EBS interdealer spot market. Contrary to evidence in equity markets and more recent evidence in foreign exchange markets, the spot market is fou...
متن کاملWhich Data Can Be Useful to Make Decisions on Foreign Exchange Markets?
A communication, settlement of deals, and other services for participants of foreign exchange markets are mostly served by electronic infrastructures. Knowledge of the volume change of aggregated data of deals is useful for all evolved businesses to support their decisions in practice. This paper investigates whether market data of infrastructures, namely CLS, SWIFT, and ETFs, can be used as th...
متن کاملInvestigating Cointegration and the Causal Relationship Between of Exchange Rate, Oil Price and Gas Price in Regional Markets
Short-term and long-term relationship between exchange rate, oil price and spot gas price of three regional gas markets was investigated using and estimating the Vector Autoregressive model. There is a significant and long-term relationship between variables.Short-term interactions of variables with Granger causality test One-year interaction of variables with intervals of one to twelve months ...
متن کاملA hybrid computational intelligence model for foreign exchange rate forecasting
Computational intelligence approaches have gradually established themselves as a popular tool for forecasting the complicated financial markets. Forecasting accuracy is one of the most important features of forecasting models; hence, never has research directed at improving upon the effectiveness of time series models stopped. Nowadays, despite the numerous time series forecasting models propos...
متن کامل