Line spectrum pairs (LSPs) are the roots (located in the complex-frequency or -plane) of symmetric and antisymmetric polynomials synthesized using a linear prediction (LPC) polynomial. The angles of these roots, known as line-spectral frequencies (LSFs), implicitly represent the LPC polynomial and hence the spectral envelope of the underlying signal. By exploiting the duality between the time a...

The current study aimed to examine the causal relationship between NSE currency future rates and spot in order identify price discovery mechanism at market its integration with foreign exchange (spot market). To said markets, we have considered daily closing for futures selected pairs of currencies, i.e. USD/INR, GBP/INR, JPY/INR EURO/INR. data was obtained from www.nseindia.com www.investing.c...

Abstract We investigate the information contained in foreign exchange (FX) volume using a novel data set from over-the-counter market. find helps predict next-day currency returns and is economically valuable for investors. Predictability implies stronger return reversal pairs with abnormally low driven by component of unrelated to volatility, liquidity, order flow. rationalize these findings v...

A cash-in-advance model in which the cost of buying goods with a foreign currency is decreasing in the economy’s accumulated experience in transacting in the foreign currency is shown to display hysteresis in money velocity; that is, a temporary increase in expected in ation can cause a permanent increase in velocity. In addition, the model implies that the domestic currency does not have to do...

Given current concerns on foreign currency exposures in emerging economies, we examine the currency denomination of bank loans. We compare the currency requested by borrowers and the currency decision subsequently made by a bank in Bulgaria prior to the current crisis. We analyze more than hundred thousand loans to sixty thousand different firms granted during the period 2003-2007. We relate th...

This paper discusses the use of fuzzy logic and modeling as a decision making support for long-term investment decisions on financial markets. A simple model is proposed to calculate recommendations for the investors. This research required thorough analysis of historical data that lead to discovery of interesting dependencies between the Dow Jones index, currency pairs, oil price and the VIX v...

This paper discusses the use of fuzzy logic and modeling as a decision making support for long-term investment decisions in financial markets. A simple model is proposed to calculate recommendations for investors. This research required thorough analysis of historical data that lead to discovery of interesting dependencies between the Dow Jones index, currency pairs, oil price and the VIX volat...

This paper examines the ability of several models to generate optimal hedge ratios. Statistical models employed include univariate and multivariate GARCH models, and exponentially weighted and simple moving averages. The variances of the hedged portfolios derived using these hedge ratios are compared with those based on market expectations implied by the prices of traded options. One-month and ...

We describe the framework for building an electronic currency system. We detail the design of the components of the electronic currency system and the relationship among them. Contrary to the previous electronic currency literatures, which focus exclusively on electronic currency protocol designs, we address how to achieve both transaction atomicity and transaction anonymity at the presence of ...

We examine the impact of corporate currency hedging on economic stability by introducing hedging activity in a Mundell-Fleming-Tobin framework for analyzing currency and financial crises. The ratio between hedged and unhedged firms is modelled depending on firm size as well as hedging costs. The results indicate that, with an increasing fraction of hedged firms in an economy, the magnitude of a...