Forex je najveće tržište danas sa dnevnim prometom od preko $2000 milijardi. Na ovom tržištu valuta jedne zemlje se razmjenjuje za valute drugih zemalja, istovremeno kupujuću jednu valutu a prodajući ...drugu. Glavni sudionici su banke koje obavljaju 'consumer business' ili 'speculative business' (najvećim dijelom). Zaraditi se može kad tržište (tečaj) raste ili kad pada. Na tržište se ulazi ili izlazi preko tržišnog, limit ili stop naloga. Da bi odredili najbolje vrijeme za trgovinu potrebo je razumjeti fundamentalnu i tehničku analzu kretanja tečajeva.
Stalno učenje i kontrola emocija su najvažniji preduvjeti za uspjeh u trgovanju na forex tržištu, na kojem odnedavno mogu sudjelovati i mali investitori.
Tytuł wol.: Funkcjonowanie unii gospodarczej i walutowej w teorii i praktyce
Title wol.: The functioning of economic and monetary union in theory and practice
This paper investigates the ability of the forward premium and the forward forecast error to predict the conditional mean and the conditional variance of changes in the spot rate of three major ...dollar exchange rates namely, the Japanese yen, the German mark and the British pound. All three exchange rates are found to be cointegrated with the contemporaneous, as well as the lagged forward rate. The forward premium is found to contain important information that can be used to forecast the conditional mean of exchange rate changes, but, not the conditional variance. Similarly, the forward forecast error can be used to improve forecasts of the conditional variance, but, it is informationless with respect to the conditional mean. These findings hold for all three exchange rates under investigation.
This study examines the impact of foreign currency market interventions of the Central Bank of Turkey (CBT) in a multivariate GARCH framework. CBT has switched to the floating exchange rate regime ...since 2001 crisis and announced that the interventions in the foreign exchange markets are aimed at reducing the volatility of the USD/YTL and EUR/YTL. However the literature documents that, foreign exchange interventions lead to an increase in exchange rate volatility. In an attempt to calculate the volatility, we employ a bivariate GARCH estimation with non-linear constrained optimization (NLP) 22 and BEKK 3 on the USD/YTL and EUR/YTL. Our results shed some doubt about the efficiency of these interventions in stabilizing the Turkish Lira market.
The aim of this paper is to determine the potential profitability of technical analysis applied on the foreign exchange market. Eight simple rules of trading are tested in five markets. Only long ...positions are tracked and reported. When neither commissions nor indexation are included in the analysis, some investment strategies outperform the index. There is little evidence that these excess returns are compensation for bearing excessive risk. However, the most of these strategies require too many transactions and produces only marginal returns. In that sense, when commissions and indexation are introduced, it is concluded that only an investor with the ability to get very low or null commissions and taxes would benefit.
The paper proposes a model of multiple dealer forex trade in two variants: for direct and brokered market organization. The equilibrium order flow pattern is derived as a function of shadow prices ...(marginal valuations) of FX holdings across market participants. The shadow currency values can be heterogeneous across market participants (due to differences in preferences, endowments or asset payoff information), giving rise to nonzero trades in equilibrium. Purchases (sales) of the currency are initiated by those market users whose marginal currency values are high (low) in relation to the marginal valuations of the market maker. As a consequence, one would observe a strong price impact of the order flow when it moves the marginal value of the recipient dealer away from the no-trade level, and a weak order flow impact when the received position reverts the marginal value back to it. The Nash equilibrium of the studied one period inter-dealer game is obtained as a steady state Nash equilibrium of a differential game between the same players. We also find that differences in equilibrium quoting behavior result in higher volumes of inter-dealer trade in the brokered market compared to the direct market. However, under both trading mechanisms hot potato trades are non-zero even if the dealers are perfectly symmetric. For a given level of non-dealer investor foreign currency demand, gains from trade in the brokered market are lower than in the direct market.
Using a carefully screened and filtered international data base with a wide coverage across countries and size classes, this paper identifies and documents a post-1980s size effect which is ...persistent, not picked up by a Fama-French-style SMB, and largely due to the smallest-decile stocks. We test for potential explanations (such as market risk, infrequent trading, financial distress risk, missing book-values, momentum, liquidity risk, changing business conditions, January effect, exchange risk, time-varying risk loadings and dividend yield effects), but none can quite explain the international size effect, whether separately or jointly. Fully identifying the missing risk factor is beyond the scope of this paper but we do find that dividend yield shows up as a significant characteristic in the cross-section of risk-adjusted returns, even after controlling for time-varying risk loadings linearly related to dividend yield. When we construct two ad-hoc risk factors that jointly capture the documented size effect, and then correlate these factors with characteristics-based portfolios, we likewise find that especially dividend yield seems to play an important role in the missing risk factor. More generally, this paper revives the debate on the small-firm effect and, we hope, will stimulate further research on a class of stocks that are too interesting to ignore.
The multi-dimensional role of RBI and how it reponded to the financial crisis is depicted in the presentation. Presentation made at the 56th EXCOM Meeting and FinPower CEO Forum organised by APRACA ...at Seoul, Korea.
In this paper a self-adapting architecture for FOREX market prediction, which is being developed, is described. The proposed system utilizes genetic programming (GP) for predictor representation. The ...goal of the system is the design and adaptation of simple predictors which can either be used by the system itself or be 'manually' used by a human trader.
RBI Governor D. Subbarao answering to researchers after publishing the monetary policy. RBI. URL:http://rbidocs.rbi.org.in/rdocs/Content/PDFs/RBIRA27012012.pdf
