Download or read book High Frequency Data and Volatility in Foreign Exchange Rates written by Bin Zhou and published by Forgotten Books. This book was released on 2015-06-02 with total page 32 pages. Available in PDF, EPUB and Kindle. Book excerpt: Excerpt from High Frequency Data and Volatility, in Foreign Exchange Rates Exchange rates, like many other financial time series, display substantial heteroscedasticity. This poses obstacles in detecting trends and changes. Understanding volatility becomes extremely important in studying financial time series. Unfortunately, estimating volatility from low frequency data, such as daily, weekly, or monthly observations, is very difficult. The recent availability of ultra-high frequency observations, such as tick-by-tick data, to large financial institutions creates a new possibility for the analysis of volatile time series. This article uses tick-by-tick Deutsche Mark and US Dollar (DM/$) exchange rates to explore this new type of data. Unlike low frequency data, high frequency data have extremely high negative first order autocorrelation in their return. A model explaining the negative autocorrelation and volatility estimators using the high frequency data are proposed. Daily and hourly volatility of the DM/$ exchange rates are estimated and the behaviors of the volatility are discussed. About the Publisher Forgotten Books publishes hundreds of thousands of rare and classic books. Find more at www.forgottenbooks.com This book is a reproduction of an important historical work. Forgotten Books uses state-of-the-art technology to digitally reconstruct the work, preserving the original format whilst repairing imperfections present in the aged copy. In rare cases, an imperfection in the original, such as a blemish or missing page, may be replicated in our edition. We do, however, repair the vast majority of imperfections successfully; any imperfections that remain are intentionally left to preserve the state of such historical works.

Download or read book High Frequency Data and Volatility in Foreign Exchange Rates written by Bin Zhou and published by . This book was released on 1992 with total page 25 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book High Frequency Data and Volatility in Foreign Exchange Rates Classic Reprint written by Bin Zhou and published by Forgotten Books. This book was released on 2018-02-21 with total page 32 pages. Available in PDF, EPUB and Kindle. Book excerpt: Excerpt from High Frequency Data and Volatility, in Foreign Exchange Rates Since the consecutive prices are nonstationary, it is appropriate to study changes in prices. Like many other researchers, I prefer to study the compound return (which is defined as the difference in the logarithmic value of the bid prices). Table 2 shows the summary statistics of the tick-by-tick returns. About the Publisher Forgotten Books publishes hundreds of thousands of rare and classic books. Find more at www.forgottenbooks.com This book is a reproduction of an important historical work. Forgotten Books uses state-of-the-art technology to digitally reconstruct the work, preserving the original format whilst repairing imperfections present in the aged copy. In rare cases, an imperfection in the original, such as a blemish or missing page, may be replicated in our edition. We do, however, repair the vast majority of imperfections successfully; any imperfections that remain are intentionally left to preserve the state of such historical works.

Download or read book An Introduction to High Frequency Finance written by Ramazan Gençay and published by Elsevier. This book was released on 2001-05-29 with total page 411 pages. Available in PDF, EPUB and Kindle. Book excerpt: Liquid markets generate hundreds or thousands of ticks (the minimum change in price a security can have, either up or down) every business day. Data vendors such as Reuters transmit more than 275,000 prices per day for foreign exchange spot rates alone. Thus, high-frequency data can be a fundamental object of study, as traders make decisions by observing high-frequency or tick-by-tick data. Yet most studies published in financial literature deal with low frequency, regularly spaced data. For a variety of reasons, high-frequency data are becoming a way for understanding market microstructure. This book discusses the best mathematical models and tools for dealing with such vast amounts of data. This book provides a framework for the analysis, modeling, and inference of high frequency financial time series. With particular emphasis on foreign exchange markets, as well as currency, interest rate, and bond futures markets, this unified view of high frequency time series methods investigates the price formation process and concludes by reviewing techniques for constructing systematic trading models for financial assets.

Download or read book The Foreign Exchange Market written by Charles Albert Eric Goodhart and published by Palgrave Macmillan. This book was released on 2000 with total page 562 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book brings together a number of research studies, all of which examine the behavior of foreign exchange rates. The main focus of the collection is on empirical characterization of high-frequency exchange rate data. The pioneering studies demonstrate and explain, among other things, the regular patterns in intra-day foreign exchange rate activity and the effects of macroeconomic news on rates and analyze the profitability of technical trading rules in these markets.

Download or read book Modelling Foreign Exchange Realized Volatility Using High Frequency Data written by Abderazak Ben Maatoug and published by . This book was released on 2019 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: In this study, we model realized volatility constructed from intraday high-frequency data. We explore the possibility of confusing long memory and structural breaks in the realized volatility of the following spot exchange rates: EUR/USD, EUR/JPY, EUR/CHF, EUR/GBP, and EUR/AUD. The results show evidence for the presence of long memory in the exchange rates' realized volatility. From the Bai - Perron test, we found structural breakpoints that match significant events in financial markets. Furthermore, the findings provide strong evidence in favour of the presence of long memory.

Download or read book Investigating High Frequency Exchange Rate from the Brazilian Sisbex Market written by Andreza Barbosa and published by . This book was released on 2003 with total page 42 pages. Available in PDF, EPUB and Kindle. Book excerpt: The aim of the present research is to explore and test the empirical distribution of high frequency exchange rate returns from the Brazilian market against different market microstructure hypothesis and bivariate, multivariate and continuos time processes models. The main hypothesis we want to investigate is whether trades convey information, a hypothesis that is only testable now with high frequency data. We also want to investigate the relationship between trade-related variables and volatility. We use a variety of parametric models applied to both regular and irregularly spaced data sets. Our objective is to assess the empirical characteristics of a high frequency data set of foreign exchange rates from an emerging capital market, specifically based on limit order systems. The research has implications for risk management and portfolio allocation.

Download or read book Trading Activity and Exchange Rates in High frequency EBS Data written by Alain P. Chaboud and published by . This book was released on 2007 with total page 40 pages. Available in PDF, EPUB and Kindle. Book excerpt: The absence of data has, until now, precluded virtually all research on trading volume in the foreign exchange market. This paper introduces a new high-frequency foreign exchange dataset from EBS (Electronic Broking Service) that includes trading volume in the global interdealer spot market. The dataset gives volumes and prices at the one-minute frequency over a five-year time period in the euro-dollar and dollar-yen currency pairs. We first document intraday volume patterns in euro-dollar and dollar-yen trading, noting the effects of macroeconomic news announcements but also purely institutional factors. We study the effects of UK-specific holidays on euro-dollar and dollar-yen trading volume and find that these holidays cause a sharp decline in trading volume even among dealers outside the UK, a natural experiment that we interpret as further evidence that trading activity is not driven solely by the flow of news about fundamentals. Studying the reaction to U.S. macroeconomic announcements, we show that a sharp pickup in trading volume generally occurs in the minutes following news announcements. This rise in trading volume happens even if the data release is entirely in line with market expectations, and it is often negatively related to the dispersion of ex-ante market expectations. Finally, focusing on one particular data release at the one-second frequency, we document a two-stage reaction whereby the price jumps immediately after the announcement without much trading volume, while trading volume and volatility then surge about 15 seconds after the data release.

Download or read book Nonlinear Time Series Analysis with Applications to Foreign Exchange Rate Volatility written by Christian Hafner and published by Springer Science & Business Media. This book was released on 2013-11-27 with total page 235 pages. Available in PDF, EPUB and Kindle. Book excerpt: The book deals with the econometric analysis of high frequency financial time series. It emphasizes a new nonparametric approach to volatility models and provides theoretical and empirical comparisons with conventional ARCH models, applied to foreign exchange rates. Nonparametric models are discussed that cope with asymmetry and long memory of volatility as well as heterogeneity of higher conditional moments.

Download or read book The High frequency Effects of U S Macroeconomic Data Releases on Prices and Trading Activity in the Global Interdealer Foreign Exchange Market written by and published by . This book was released on 2004 with total page 50 pages. Available in PDF, EPUB and Kindle. Book excerpt: "We introduce a new high-frequency foreign exchange dataset from EBS (Electronic Broking Service) that includes trading volume in the global interdealer spot market, data not previously available to researchers. The data also gives live transactable quotes, rather than the indicative quotes that have been used in most previous high frequency foreign exchange analysis. We describe intraday volume and volatility patterns in euro-dollar and dollar-yen trading. We study the effects of scheduled U.S. macroeconomic data releases, first confirming the finding of recent literature that the conditional mean of the exchange rate responds very quickly to the unexpected component of data releases. We next study the effects of data releases on trading volumes. News releases cause volume to rise, and to remain elevated for a longer period. However, in contrast to the result for the level of the exchange rate, even if the data release is entirely in line with expectations, we find that there is still typically a large pickup in trading volume"--Federal Reserve Board web site.

Download or read book High Frequency Financial Econometrics written by Luc Bauwens and published by Physica. This book was released on 2007-10-26 with total page 312 pages. Available in PDF, EPUB and Kindle. Book excerpt: Shedding light on some of the most pressing open questions in the analysis of high frequency data, this volume presents cutting-edge developments in high frequency financial econometrics. Coverage spans a diverse range of topics, including market microstructure, tick-by-tick data, bond and foreign exchange markets, and large dimensional volatility modeling. The volume is of interest to graduate students, researchers, and industry professionals.

Download or read book The Distribution of Exchange Rate Volatility written by Torben G. Anderson and published by . This book was released on 1999 with total page 64 pages. Available in PDF, EPUB and Kindle. Book excerpt: Abstract: Using high-frequency data on Deutschemark and Yen returns against the dollar, we construct model-free estimates of daily exchange rate volatility and correlation, covering an entire decade. In addition to being model-free, our estimates are also approximately free of measurement error under general conditions, which we delineate. Hence, for all practical purposes, we can treat the exchange rate volatilities and correlations as observed rather than latent. We do so, and we characterize their joint distribution, both unconditionally and conditionally. Noteworthy results include a simple normality-inducing volatility transformation, high contemporaneous correlation across volatilities, high correlation between correlation and volatilities, pronounced and highly.

Download or read book Exchange Rate Determination Puzzle written by Falkmar Butgereit and published by Diplomica Verlag. This book was released on 2010 with total page 120 pages. Available in PDF, EPUB and Kindle. Book excerpt: Still after more than thirty years of free floating exchange rates, large parts of exchange rate dynamics remain a puzzle. As this book shows, much progress has been made in explaining exchange rate movements over longer horizons. It also shows, however, that short-run movements are far more challenging to explain. The book is based upon a variety of papers, many of them released recently. A key aspiration of the literature has always been not only to explain past exchange rate behavior but also to forecast out of sample and to compare it to the simple random walk outcome. Here some development has been made after Meese and Rogoff's (1983) truculent verdict of the performance of common exchange rate models. By means of empirical analysis and descriptive statistics this book further supports the established long-run relationships between exchange rates and fundamentals such as expected productivity growth, real GDP growth, domestic investment, interest rates, inflation, government spending, and current account balances. It finds that these fundamentals affect the exchange rate to varying degrees over time. Turning to short-term exchange rate dynamics, it turns out that a different set of forces is at play. The key to explaining short-run movements is to be found in an extensive micro-foundation that factors in a pronounced heterogeneity among market participants and information asymmetries, as well as the possibility of sudden shifts in sentiment, beliefs, and the degree of risk aversion. Promising results have been obtained by order-flow analysis and high frequency data. Also, the consideration of chartism and speculators facilitates understanding for otherwise puzzling exchange rate movements. The last attempt to tackle the understanding of exchange rate behavior is the use of frequency domain analysis and in particular spectral analysis which tries to track down any cyclical patterns in the various moments of time series. And as we shall see forex indeed incorpor

Download or read book Foreign Exchange Rates written by Arif Orçun Söylemez and published by Routledge. This book was released on 2021-02-07 with total page 83 pages. Available in PDF, EPUB and Kindle. Book excerpt: Predicting foreign exchange rates has presented a long-standing challenge for economists. However, the recent advances in computational techniques, statistical methods, newer datasets on emerging market currencies, etc., offer some hope. While we are still unable to beat a driftless random walk model, there has been serious progress in the field. This book provides an in-depth assessment of the use of novel statistical approaches and machine learning tools in predicting foreign exchange rate movement. First, it offers a historical account of how exchange rate regimes have evolved over time, which is critical to understanding turning points in a historical time series. It then presents an overview of the previous attempts at modeling exchange rates, and how different methods fared during this process. At the core sections of the book, the author examines the time series characteristics of exchange rates and how contemporary statistics and machine learning can be useful in improving predictive power, compared to previous methods used. Exchange rate determination is an active research area, and this book will appeal to graduate-level students of international economics, international finance, open economy macroeconomics, and management. The book is written in a clear, engaging, and straightforward way, and will greatly improve access to this much-needed knowledge in the field.

Download or read book High Frequency Trading and Limit Order Book Dynamics written by Ingmar Nolte and published by Routledge. This book was released on 2016-04-14 with total page 325 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book brings together the latest research in the areas of market microstructure and high-frequency finance along with new econometric methods to address critical practical issues in these areas of research. Thirteen chapters, each of which makes a valuable and significant contribution to the existing literature have been brought together, spanning a wide range of topics including information asymmetry and the information content in limit order books, high-frequency return distribution models, multivariate volatility forecasting, analysis of individual trading behaviour, the analysis of liquidity, price discovery across markets, market microstructure models and the information content of order flow. These issues are central both to the rapidly expanding practice of high frequency trading in financial markets and to the further development of the academic literature in this area. The volume will therefore be of immediate interest to practitioners and academics. This book was originally published as a special issue of European Journal of Finance.

Download or read book Estimating High Frequency Foreign Exchange Rate Volatility with Nonparametric ARCH Models written by and published by . This book was released on 1997 with total page 25 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Efficient Estimation of Volatility Using High Frequency Data written by Gilles O. Zumbach and published by . This book was released on 2002 with total page 22 pages. Available in PDF, EPUB and Kindle. Book excerpt: The limitations of volatilities computed with daily data as well as simple statistical considerations strongly suggest to use intraday data in order to obtain accurate volatility estimates. Under a continuous time arbitrage-free setup, the quadratic variations of the prices would allow us, in principle, to construct an approximately error free estimate of volatility by using data at the highest frequency available. Yet, empirical data at very short time scales differ in many ways from the arbitrage-free continuous time price processes. For foreign exchange rates, the main difference originates in the incoherent structure of the price formation process. This market micro-structure effect introduces a noisy component in the price process leading to a strong overestimation of volatility when using naive estimators. Therefore, to be able to fully exploit the information contained in high frequency data, this incoherent effect needs to be discounted. In this contribution, we investigate several unbiased estimators that take into account the incoherent noise. One approach is to use a filter for pre-whitening the prices, and then using volatility estimators based on the filtered series. Another solution is to directly define a volatility estimator using tick-by-tick price differences, and including a correction term for the price formation effect. The properties of these estimators are investigated by Monte Carlo simulations. A number of important real-world effects are included in the simulated processes: realistic volatility and price dynamic, the incoherent effect, seasonalities, and random arrival time of ticks. Moreover, we investigate the robustness of the estimators with respect to data frequency changes and gaps. Finally, we illustrate the behavior of the best estimators on empirical data.