This paper examines volatility models of currency futures contracts for three developed markets and two emerging markets. For each contract, standard models of the Unbiased Expectations Hypothesis (UEH) and Cost-of-Carry hypothesis (COC) are extended to derive volatility models corresponding to each of the two standard approaches. Each volatility model is formulated as a system of individual eq...

We develop an equilibrium model in which exchange rates, stock prices and capital flows are jointly determined under incomplete forex risk trading. Incomplete hedging of forex risk, documented for U.S. global mutual funds, has three important implications: 1) exchange rates are almost as volatile as equity prices when the forex liquidity supply is not infinitely price elastic; 2) higher returns...

Our subject is foreign exchange auction through market makers. We consider market maker’s policy to choose bid and ask as an optimization problem. We show that if traders’ expectations are more heterogeneous, the market maker widens bid and ask spread. He can take advantage of the heterogeneous expectations. We derive an equation of expected transaction prices. This equation makes it possible t...

The identification of price patterns and trends, and the formation of rules to generate market signals have a long history in foreign exchange rate markets. Recent studies, however, question the profitability of the simple rules that have been shown to yield abnormal profits in previous decades. Rather than assuming a fixed set of rules, in this paper we employ genetic programming to identify r...

Volatility spillovers of the DM/$ and ¥/$ exchange rate across regional markets are examined using the integrated volatility of highfrequency data. An analysis of quoting patterns reveals Ž ve distinct regions: Asia, Asia-Europe overlap, Europe, Europe-America overlap, and America. After reviewing theoretical foundations for persistence of volatility in dealership markets, regional volatility m...

In this study a multiagent model of a foreign exchange market based on Genetic Algorithms (GAs) is proposed by regarding the market as a multiagent system. An interview with a dealer was carried out and it was found that features of the agents' interaction in learning are similar to those of the GA operations. By using the simulation results of our model, three emergent properties of the market...

Improvement of the collection efficiency (CE) of the Fenwal CS3000 plus in collecting circulating progenitor cells (CPC) might diminish the number of leukapheresis procedures (LP) required to obtain the CPC required to assure engraftment. We analyzed whether adjustment of the optical setting (location 71,L71) to the number of MNC present in the peripheral blood could enhance the CE of the MNC. ...

In this paper we model how the existence of di¤erent beliefs about the underlying fundamental value of a currency a¤ects the dynamics of the exchange rate. We …nd that a divergence of beliefs creates the potential for waves of optimism and pessimism that alternate in an unpredictable way. These waves are disconnected from the underlying (objective) fundamental value. We also …nd that in such a ...

It is commonly assumed that short-term price movements follow a random walk and cannot be predicted. However, in this project we predict next-second price movements in the euro-dollar foreign exchange market by using depth as a feature. We show that if there is a sufficient imbalance in depth, an accurate prediction can be made. Further, we train and test a Markov Model to demonstrate that this...

This paper examines the sources of private information in the interbank foreign-exchange market using a transactions database that includes trading-party identities. We show that sustained post-trade returns rise with bank size, implying that larger banks have an information advantage. The larger banks exploit this information advantage in placing limit orders as well as market orders. We also ...