The volume of foreign exchange worldwide has tripled over the past 6 years, a phenomenon the International Monetary Fund (IMF) attributes to the progressive liberalization of cross-border financial ...flows and an unprecedented growth in international portfolios. The IMF describes global pension funds as the most important institutional investors that affect international diversifiction. Canadian pension funds are gradually building their international portfolio toward the 20% limit. However, most Canadian plan sponsors have not separated currency from their foreign investment decision. A plan sponsor wishing to implement a separate currency management program must first establish the role of the currency. Currency may be hedged or managed. Five practical steps are recommended in designing and implementing a currency management program: 1. building a case, 2. measuring performance, 3. designing a hedging clause, 4. establishing a line of credit, and 5. deciding who will manage the currency and how, and what products should be used for hedging.
The expert system of New York's Chemical Bank, which is called Inspector, is discussed. Inspector is a sophisticated client/server application that oversees foreign exchange transactions.
The research interval is divided into three intervals according to the date of occurrence, "China announced to shut down bitcoin exchanges" and "American Securities and Exchange Commission published ...the announcement of non-standardization of digital currency exchanges". And the Generalized Pareto Distribution is used to measure the tail risk of bitcoin price fluctuation in the three intervals. It is found that the Generalized Pareto distribution can better fit the thick tail of the bitcoin yield, and the risk of price fluctuation in the three intervals presents a change of "low-high-low".
European investment dealers refer to midrange investors who want respectable returns without undue risk as Belgian dentists. Acting alone, a Belgian dentist is a small part of the investment scene. ...However, when Europe's Belgian dentists act in unison, they can make their presence felt. As Canadians watched their dollar rise and fall and rise again in the first quarter of 1990, many believed the shifting value reflected the degree of international confidence in the Canadian economy or even concern over the political future of Canada. In truth, few European analysts track the evolution of the Canadian economy. European interest in Canadian dollars is rooted in the simple criteria of the Belgian dentist, and in 1989, the return on investment was good. In 1990, European investments began diverting elsewhere. The first big sell-off occurred in mid-January when Bank of Canada Governor John Crow cut interest rates. Even though the dollar recovered from an almost 4-cent drop, the damage had been done.
Hedge Hopping Bennett, Peter; Vaughan, Craig
CA magazine (Toronto : English edition),
01/1990, Volume:
123, Issue:
1
Magazine Article
Canadian companies beginning to pursue the new business opportunities presented by the free trade agreement with the US will likely face an unexpected business risk - fluctuations in foreign currency ...rates. Regardless of their severity, these fluctuations can cause significant cuts to profit margins. A company's currency risk can be identified in terms of an exposure cycle. The cycle begins when a foreign transaction is budgeted and ends when domestic cash is paid out or foreign currency is collected and converted. To identify a foreign currency exposure, a company begins with its forecasted sales and the collection months for resulting receivables. A variety of currency hedging techniques exist, each with its own set of risks, costs, advantages, and disadvantages. Fundamental principles that should guide a company's behavior in a hedge include: 1. Do not deviate from the original plan. 2. Show a commitment to the hedge. 3. Do not liquidate a hedge because of a large gain or loss on the hedge position.
•A combined computational intelligence technique for trend classification and trading in Forex markets.•An Ensemble multi-class SVM for efficient trend forecasting into uptrend, sideway, and ...downtrend.•A fuzzy-based trading system comprising multiple AND-OR Buy/Sell fuzzy rules.•Utilizing NSGA-II to optimize the hyperparameters of the fuzzy trading system.
Foreign exchange (Forex) market is the biggest currency exchange market in the world. Existing trading systems in Forex markets based on technical analysis use crisp technical indicators to provide Buy/Sell signals to the trader, only when the indicator value crosses a given threshold level. This strict and noise-sensitive condition can be replaced through uncertainty handling of indicators using fuzzy numbers to generate Buy/Sell signals with fuzzy memberships functions. To achieve this purpose, this paper presents a combined technique based on ensemble multi-class support vector machine (EmcSVM) and fuzzy NSGA-II for efficient trend classification and trading in Forex markets. At first, EmcSVM is used to forecast and classify the future market trend into uptrend, sideway, and downtrend. Then, NSGA-II is applied to optimize the hyperparameters of the proposed fuzzy trading system comprising multiple AND-OR Buy/Sell technical rules for uptrend/downtrend markets. The hyperparameters include indicator selection within each rule, importance weights of the different rules, and final decision thresholds for Buy/Sell models, while the objective is to maximize average return on investment (ROI) and minimize average draw-down of all transactions. The proposed method has been successfully developed and tested on real data from the Forex market for EUR/USD currency pair in a 6-year timeframe from 2014 to 2019. Obtained results show that the proposed method outperforms the existing crisp trading systems, with 80.8% precision, 72.4% recall, 94.1% annual ROI, and 0.58% draw down.
•Supplier selection with multiple buyers, currency fluctuation uncertainty, and discounts.•High value of the stochastic solution compared to its deterministic counterpart.•Ignoring the currency ...uncertainty in supplier selection may lead to inadequate decisions.•Significant gain in case of global discounts rather than local discounts.
Suppliers network in the global context under price discounts and uncertain fluctuations of currency exchange rates have become critical in today’s world economy. We study the problem of suppliers’ selection in the presence of uncertain fluctuations of currency exchange rates and price discounts. We specifically consider a buyer with multiple sites sourcing a product from heterogeneous suppliers and address both the supplier selection and purchased quantity decision. Suppliers are located worldwide and pricing is offered in suppliers’ local currencies. Exchange rates from the local currencies of suppliers to the standard currency of the buyer are subject to uncertain fluctuations overtime. In addition, suppliers offer discounts as a function of the total quantity bought by the different customer’ sites over the time horizon irrespective of the quantity purchased by each site.
We first provide a literature review on the overlapping items of suppliers’ selection and risk due to currency. Then, we model the problem using the mixed integer scenario-based stochastic programming method. The objective is to minimize the total system expected cost (purchased price+inventory cost+transportation cost+supplier management cost). Finally, we conduct numerical studies to show the value of the proposed model and we discuss some relevant managerial insights into the theory and practice of supply chain management research.
The paper aims to analyse the impact of the COVID outbreak on the currency market. The study considers spot rates of seven major currencies (i.e., EUR/USD, USD/JPY, GBP/USD, AUD/USD, USD/CAD, ...USD/CHF, and CHF/JPY). To capture the impact of the outbreak on returns and the volatility of returns of seven currencies during pandemic, the study has segregated in two window periods (i.e., pre- 1st Jan 2019 to 31st Dec, 2019 and post-outbreak of COVID-19 1st Jan, 2020 to 22nd Dec, 2020). The study has applied various methods and models (i.e., econometric-based compounded annual growth rate CAGR, dummy variable regression, and generalized autoregressive conditional heteroskedasticity GARCH). The result of the study captures the negative impact of the COVID-19 pandemic on three currencies—USD/JPY, AUD/USD, and USD/CHF—and positive significant impact on EUR/USD, GBP/USD, USD/CAD, and CHF/JPY. Investors can take short position in these while having long position in other currencies. The inferences drawn from the analysis are providing insight to investors and hedgers.
In September 1997 an astonishing war of words between Malaysian Prime Minister Mahathir Mohamad and George Soros, by now the world's best-known financial speculator, reached a new intensity. Mahathir ...told the annual meetings of the IMF and World Bank in Hong Kong that currency trading was unnecessary, unproductive and immoral. At issue is whether it is.
PDF
