Global ETD Search
Search theses and dissertations gathered from participating repositories worldwide. Every result links back to the library that holds it. No account is needed.
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Showing 1 to 20 of 48 for “"Foreign exchange market"”.
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Foreign Exchange Market Microstructure and Forecasting
… some of the unanswered questions in the field of foreign exchange market microstructure. We confirm the contemporaneous relationship between flows and exchange rates found in the literature in the daily data, but in the forecasting experiments we find no forecasting power, regardless of model, …
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Chartism in the foreign exchange market
… examines the use and nature of chartism in the foreign exchange market, bringing together an analysis of chartist methods and the views/empirical work of economics. A survey of general chartist methods demonstrates the origins of the modern techniques, the construction of the various indicators, …
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Price discovery in the foreign exchange market
… thesis investigates the price discovery in the foreign exchange market using high frequency data. Traditional exchange rate models assume market homogeneity and the sole existence of public information. However. recent studies suggest such assumptions are not well founded and have generated the …
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The foreign exchange market: a three essay analysis
Illiquidity in financial markets is an issue of importance given that its impact can be rapid, that it can result in the emergence of a financial crisis, and that ultimately, it can threaten financial system stability. I construct five measures of FX illiquidity using high frequency transactable FX …
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Mixed Monte Carlo in the foreign exchange market
… volatility and/or stochastic domestic and foreign short rates. This dissertation describes the calibration of such a model using mixed Monte Carlo, as described in Cozma and Reisinger (2015), to both model-generated and market data. Profit and loss analysis of hedging FX derivatives using …
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Essays in Microstructure Analysis in the Foreign Exchange Market
… of this thesis is to investigate the effects of foreign exchange order flows on exchange rate and stock market changes, in particular to examine the forecasting power of order flows and better understand the nature of the private information conveyed in order flows in the foreign exchange market. …
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Tests on the efficiency of the South African foreign exchange market
… into the efficiency of the South African foreign exchange market.
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A generic optimisation framework for reinforcement learning in the foreign exchange market
… application of algorithmic trading in financial markets has grown considerably in recent years, with deep reinforcement learning emerging as a prominent technique for developing autonomous trading agents. The success of such agents is, however, often hindered by the non-stationary nature of …
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Purchasing power parity and Reserve Bank intervention in the foreign exchange market
This paper tests the behaviour of the PPP relationship in South Africa between 1993 and 2003 using cointegration techniques. The period under review is divided into two sub-phases. The first, from January 1993 to May 1998, encompasses the changing political situation and the initial effects of …
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Financial distress, dealers' behavior and asset pricing in the foreign exchange market
… dealer-specific quote database in the FX market, I show that shocks to the CDS of a financial intermediary, proxy for its financial wealth, makes her quote larger bid-ask spreads when uncertainty about the underlying traded asset is high or when market competition is low. I first establish …
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Daily and intradaily stochastic covariance : value at risk estimates for the foreign exchange market
… to both daily and intradaily returns on foreign exchange rates, to obtain performance estimates. These conditional covariances will then be used to calculate value at risk (VaR) forecasts for foreign currency portfolios. Daily and intradaily VaR forecasts will be evaluated and compared.
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Spillovers in the foreign exchange market a study of volatility and returns in emerging market currencies
… a rigorous investigation of spillover effects in exchange rate returns and volatility. It considers the construction of a spillover index for advanced and emerging market currencies including the South African rand. The results suggest that the spillover index of exchange rate returns have …
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Analysis of the predictive ability and profitability of an analytically derived trading algorithm in the intra-day spot foreign exchange market
… technical trading algorithm in the intraday spot foreign exchange market, using over nine years of hourly data. This trading rule, the reservation price policy (RPP), stems from the computer science literature and, based on certain assumptions, is shown to be efficient under the worst-case …
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Impact of Foreign Exchange Intervention on Shilling fluctuation in Tanzania
This study investigates the impact of foreign exchange market intervention and shilling in Tanzania. The study aspires to develop a deeper understanding of foreign exchange intervention in the country. Literatures suggest that central banks intervene in the foreign exchange market for several …
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Impact of Foreign Exchange Intervention on Shilling fluctuation in Tanzania
This study investigates the impact of foreign exchange market intervention and shilling in Tanzania. The study aspires to develop a deeper understanding of foreign exchange intervention in the country. Literatures suggest that central banks intervene in the foreign exchange market for several …
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Monetary policy and economic performance - evidence from selected African countries
… in easing pressure on domestic currencies in the foreign exchange market? 3) Do banks engage in excessively risky behaviour when monetary policy is expansionary? 4) Does monetary policy influence aggregate variables like private capital formation, growth and their interrelationships? Chapter Two …
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Currency trios - using geometric concepts to visualise and interpret relationships between currencies
… a set of three currencies and their respective exchange rates, which have a relationship fixed by a triangular arbitrage condition. This condition forms the basis for the derivation of a geometric interpretation of the relationships between the exchange rates. In the geometric framework, the …
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Regime change and weak form efficiency of South African foreign exchange markets
… daily Rand/dollar. Rand/euro and Rand/sterling exchange rates for 1995 to 2005 were used. February 2000 was the date for a regime-shift and the sample is divided into two sample periods. By using the likelihood ratio test proposed in Dickey Fuller, I find that the regime-shift does help the …
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Essays in international finance
This thesis investigates three issues related to foreign exchange market. The fist issue is whether commodity prices can beat random walk benchmark by generating more accurate out-of-sample forecasts. The empirical results show that contemporaneous prices outperform the random walk at the daily …
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