A locally-built, LLM-digested index of recent arXiv papers in quant finance, geometry/topology, and statistical ML — keyword search served straight from SQLite on this machine.
We study the tick dynamical behavior of the yen-dollar exchange rate using the rescaled range analysis in financial market. It is found that the multifractal Hurst exponents with the short and long-run memory effects can be obtained from the yen-dollar exchange rate. This exists one crossover for the Hurst exponents at…
Estimates returns for dollar cost averaging using geometric Brownian motion.
We have presented a novel technique of detecting intermittencies in a financial time series of the foreign exchange rate data of U.S.- Euro dollar(US/EUR) using a combination of both statistical and spectral techniques. This has been possible due to Continuous Wavelet Transform (CWT) analysis which has been popularly a…
Analysis shows preference for Chinese yuan in global trade network.
The miltifractal properties and scaling behaviour of the exchange rate variations of the Iranian rial against the US dollar from a daily perspective is numerically investigated. For this purpose the multifractal detrended fluctuation analysis (MF-DFA) is used. Through multifractal analysis, the scaling exponents, gener…
In this paper we investigate the scaling behavior of the average daily exchange rate returns of the Indian Rupee against four foreign currencies namely US Dollar, Euro, Great Britain Pound and Japanese Yen. Average daily exchange rate return of the Indian Rupee against US Dollar is found to exhibit a persistent scaling…
We first show that there are in fact triangular arbitrage opportunities in the spot foreign exchange markets, analyzing the time dependence of the yen-dollar rate, the dollar-euro rate and the yen-euro rate. Next, we propose a model of foreign exchange rates with an interaction. The model includes effects of triangular…
The paper clarifies long-horizon investment and DCA, showing no risk reduction but different exposure profiles.
We study the continuous time random walk theory from financial tick data of the yen-dollar exchange rate transacted at the Japanese financial market. The dynamical behavior of returns and volatilities in this case is particularly treated at the long-time limit. We find that the volatility for prices shows a power-law w…
For the purpose of elucidating the correlation among currencies, we analyze daily and high-resolution data of foreign exchange rates. There is strong correlation for pairs of currencies of geographically near countries. We show that there is a time delay of order less than a minute between two currency markets having a…
Payment card fraud causes multibillion dollar losses for banks and merchants worldwide, often fueling complex criminal activities. To address this, many real-time fraud detection systems use tree-based models, demanding complex feature engineering systems to efficiently enrich transactions with historical data while co…
Using high-frequency time series of stock prices and share volumes sizes from January 2002-May 2009, this paper investigates whether the effects of the onset of high-frequency trading, most prominent since 2005, are apparent in the dynamics of the dollar traded volume. Indeed it is found in almost all of 14 heavily tra…
Based on the Log-Periodic Power Law (LPPL) methodology, with the universal preferred scaling factor , the negative bubble on the oil market in 2014-2016 has been detected. Over the same period a positive bubble on the so called commodity currencies expressed in terms of the US dollar appears to take place w…
The herd behaviors of returns for the won-dollar exchange rate and the KOSPI are analyzed in Korean financial markets. It is shown that the probability distribution of price returns for three values of the herding parameter tends to a power-law behavior with the exponents (the wo…
The local Hurst exponent, a measure employed to detect the presence of dependence in a time series, may also be used to investigate the source of intraday variation observed in the returns in foreign exchange markets. Given that changes in the local Hurst exponent may be due to either a time-varying range, or standard …
A quantitative check of weak efficiency in US dollar/German mark exchange rates is developed using high frequency data. We show the existence of long term return anomalies. We introduce a technique to measure the available information and show it can be profitable following a particular trading rule.
Stablecoins are reshaping global monetary systems, offering hybrid structures with public and private monies.
Deep RL strategies outperform traditional methods in cryptocurrency trading.
An efficient algorithm optimizes trades across CFMM networks.
In recent years cryptocurrency trading has captured the attention of practitioners and academics. The volume of the exchange with standard currencies has known a dramatic increasing of late. This paper addresses to the need of models describing a bitcoin-US dollar exchange dynamic and their use to evaluate European opt…
The prominent inequality of wealth and income is a huge concern especially in the United States. The likelihood of diminishing poverty is one valid reason to reduce the world's surging level of economic inequality. The principle of universal moral equality ensures sustainable development and improve the economic stabil…
Withdrawal guarantees ensure the periodical deduction of a constant dollar-amount from a fund investment for a fixed number of periods. If the fund depletes before the last withdrawal, the guarantor has to finance the outstanding withdrawals. We derive a robust hedging strategy which leads to closed form solutions for …
Brazil proposes a new BRICS trade currency to dominate international trade.
In this paper, we study the ability to make the short-term prediction of the exchange price fluctuations towards the United States dollar for the Bitcoin market. We use the data of realized volatility collected from one of the largest Bitcoin digital trading offices in 2016 and 2017 as well as order information. Experi…
The analysis of dollar inflation performed by the authors through the approximation of empirical data for 1913-2012 with a power-law function with an accelerating log-periodic oscillation superimposed over it has made it possible to detect a quasi-singularity point around the 17th of December, 2012. It is demonstrated …
We introduce an autoregressive-type model with self-modulation effects for a foreign exchange rate by separating the foreign exchange rate into a moving average rate and an uncorrelated noise. From this model we indicate that traders are mainly using strategies with weighted feedbacks of the past rates in the exchange …
Elastic Cash adjusts money supply to stabilize interest rates.
Study analyzes foreign exchange rates using MFDFA, revealing multifractality and its sources.
Thousands of cryptocurrencies have been issued and publicly exchanged since Bitcoin was invented in 2008. The total cryptocurrency market value exceeds 300 billion US dollars as of 2019. This paper analyzes the prices, volumes, blockchain transactions, coin difficulties and public opinion popularities of 3607 actively …
In foreign exchange markets monotonic rate changes can be observed in time scale of order of an hour on the days that governmental interventions took place. We estimate the starting time of an intervention using this characteristic behavior of the exchange rates. We find that big amount of interventions can shift the a…
The IMH suggests market price fluctuations are driven by order flow, not fundamental values.
The performance of the multifractal detrended analysis on short time series is evaluated for synthetic samples of several mono- and multifractal models. The reconstruction of the generalized Hurst exponents is used to determine the range of applicability of the method and the precision of its results as a function of t…
We apply the formalism of the continuous time random walk to the study of financial data. The entire distribution of prices can be obtained once two auxiliary densities are known. These are the probability densities for the pausing time between successive jumps and the corresponding probability density for the magnitud…
This paper studies a two-person trading game in continuous time that generalizes Garivaltis (2018) to allow for stock prices that both jump and diffuse. Analogous to Bell and Cover (1988) in discrete time, the players start by choosing fair randomizations of the initial dollar, by exchanging it for a random wealth whos…
Based on the new type of random walk process called the Potentials of Unbalanced Complex Kinetics (PUCK) model, we theoretically show that the price diffusion in large scales is amplified 2/(2 + b) times, where b is the coefficient of quadratic term of the potential. In short time scales the price diffusion depends on …
In this note we study the bilateral merchandise trade flows between 186 countries over the 1948-2005 period using data from the International Monetary Fund. We use Pajek to identify network structure and behavior across thresholds and over time. In particular, we focus on the evolution of trade "islands" in the a world…
Any discussion on exchange rate movements and forecasting should include explanatory variables from both the current account and the capital account of the balance of payments. In this paper, we include such factors to forecast the value of the Indian rupee vis a vis the US Dollar. Further, factors reflecting political…
SmartDCA improves investment returns by adjusting purchases based on prices.
Bitcoin treasury companies leverage stock to grow, using advanced statistical methods.
Study finds relevance of exchange and inflation rates to economic factors.
Time series analysis and forecasting of stock market prices has been a very active area of research over the last two decades. Availability of extremely fast and parallel architecture of computing and sophisticated algorithms has made it possible to extract, store, process and analyze high volume stock market time seri…
Bayesian model estimates feature values of premium products.
Forecast-to-fill strategy generates durable alpha in gold futures.
Unified framework maps financial market dynamics using TE and KM, revealing directional information flow.
We introduce Dirac processes, using Dirac delta functions, for short-rate-type pricing of financial derivatives. Dirac processes add spikes to the existing building blocks of diffusions and jumps. Dirac processes are Generalized Processes, which have not been used directly before because the dollar value of non-Real nu…
The paper analyzes cryptocurrency trading networks using pairwise and high-order dependencies.
The paper explains how to construct a credit spread curve from bond prices.
In this paper we develop a Bayesian procedure for estimating multivariate stochastic volatility (MSV) using state space models. A multiplicative model based on inverted Wishart and multivariate singular beta distributions is proposed for the evolution of the volatility, and a flexible sequential volatility updating is …