specialist microfinance institutions (MFIs). The Central Bank of Sri Lanka (CBSL) has traditionally pursued an active "developmental" role in the microfinance sector, although this has been changing. It should further reduce its developmental activities by diluting its ownership of regional development banks and taking a less hands-on role in project implementation. Conversely, it would be appr...

This work studies the information content of trades in world’s largest over-the-counter (OTC) market, foreign exchange (FX) market. It analyzes a novel, comprehensive order flow data set, distinguishing among different groups market participants and covering large cross-section currency pairs. We find compelling evidence heterogeneous superior across agents, time, pairs, consistent with asymmet...

This paper features an analysis of major currency exchange rate movements in relation to the US dollar, as constituted in US dollar terms. Euro, British pound, Chinese yuan, and Japanese yen are modelled using a variety of non-linear models, including smooth transition regression models, logistic smooth transition regressions models, threshold autoregressive models, nonlinear autoregressive mod...

We develop the optimal trading strategy for our broker who has non-zero inventory in three currency pairs with different level of liquidity and would like to o ff-load all inventories with a given time schedule while accepting exogenous clients orders. The mid-exchange rate satisfies constraint to exclude the triangle arbitrage. Our broker is risk-neutral, inventory averse and would like to max...

In this paper, several experiments on F0 transformation within the voice conversion framework are presented. The conversion system is based on a probabilistic transformation of line spectral frequencies and residual prediction. Three probabilistic methods of instantaneous F0 transformation are described and compared. Moreover, a new modification of inter-speaker residual prediction is proposed ...

In this study, we assess the dynamic evolution of short-term correlation, long-term cointegration and Error Correction Model (hereafter referred to as ECM)-based long-term Granger causality between each pair of US, UK, and Eurozone stock markets from 1980 to 2015 using the rolling-window technique. A comparative analysis of pairwise dynamic integration and causality of stock markets, measured i...

Asset value forecasting has always attracted an enormous amount of interest among researchers in quantitative analysis. The advent modern machine learning models introduced new tools to tackle this classical problem. In paper, we apply algorithms hitherto unexplored question instances significant fluctuations currency exchange rates. We perform analysis nine using data on four major pairs over ...

We analyze the exchange rate forecasting performance under assumption of selective attention. Although currency markets react to a variety different information, we hypothesize that market participants process only limited amount information. Our analysis includes more than 100,000 news articles relevant six most-traded foreign pairs for period 1979-2016. employ dynamic model averaging approach...

Voice conversion is a process which modifies speech produced by one speaker so that it sounds as if it is uttered by another speaker. In this paper a new voice conversion system is presented. The system requires parallel training data. By using linear prediction analysis, speech is described with line spectral frequencies and the corresponding residua. LSFs are converted together with instantan...