The Efficiency of Foreign Exchange Futures Markets in Turbulent and Non-turbulent Periods
Author | : Debra Glassman |
Publisher | : |
Total Pages | : 39 |
Release | : 1982 |
Genre | : Foreign exchange futures |
ISBN | : |
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Author | : Debra Glassman |
Publisher | : |
Total Pages | : 39 |
Release | : 1982 |
Genre | : Foreign exchange futures |
ISBN | : |
Author | : R. Hodrick |
Publisher | : Routledge |
Total Pages | : 185 |
Release | : 2014-05-01 |
Genre | : Business & Economics |
ISBN | : 1136455213 |
First Published in 2001. Routledge is an imprint of Taylor & Francis, an informa company.
Author | : Jacob A. Frenkel |
Publisher | : |
Total Pages | : 15 |
Release | : 1980 |
Genre | : Foreign exchange |
ISBN | : |
Since the move to generalized floating in1973, exchange rates between major currencies have displayed large fluctuations. This turbulence of foreign exchange rates is an important concern of government policy and its explanation is a challenge for theories of foreign exchange market behavior. In Section I of this paper, we document the extent of turbulence in foreign exchange markets by examining (i) the magnitude of short-run variations in exchange rates relative to other measures of economic variability; (ii) the degree of divergence between actual and expected changes in exchange rates; and (iii) the extent to which exchange-rate movements have diverged from movements of relative national price levels. In Section II, we provide a general explanation of this turbulence in terms of the modern "asset market theory" to exchange-rate determination. This theory emphasizes that exchange rates, like the prices of other assets determined in organized markets, are strongly influenced by the market's expectation of future events. In this context, we also discuss the narrower technical question of "foreign exchange market efficiency." Finally, in Section III, we address the question of whether turbulence in the foreign exchange markets has been "excessive" and what policy measures can (or should) be taken to reduce it
Author | : Robert J. Hodrick |
Publisher | : CRC Press |
Total Pages | : 190 |
Release | : 2023-08-18 |
Genre | : Mathematics |
ISBN | : 1000943380 |
This book presents a critical review of the empirical literature that studies the efficiency of the forward and futures markets for foreign exchange. It provides a useful foundation for research in developing quantitative measures of risk and expected return in international finance.
Author | : Robert J. Hodrick |
Publisher | : CRC Press |
Total Pages | : 198 |
Release | : 2023-08-18 |
Genre | : Mathematics |
ISBN | : 1000950026 |
This book presents a critical review of the empirical literature that studies the efficiency of the forward and futures markets for foreign exchange. It provides a useful foundation for research in developing quantitative measures of risk and expected return in international finance.
Author | : Linda Allen |
Publisher | : John Wiley & Sons |
Total Pages | : 804 |
Release | : 1997-01-31 |
Genre | : Business & Economics |
ISBN | : 0471130494 |
Intended for Junior/Senior/MBA course in Financial Markets, Capital Markets and Institutions. Using an international focus, this text integrates the financial markets with the activities of financial intermediaries. This approach enables students to understand the role of financial intermediaries in the development of financial markets. Throughout the text, the emphasis is on "how things are done on the street." The origins, major participants, pricing and settlements and typical transactions for all financial markets are also included.
Author | : Debra Ann Glassman |
Publisher | : |
Total Pages | : 552 |
Release | : 1980 |
Genre | : Commodity exchanges |
ISBN | : |
Author | : A. G. Malliaris |
Publisher | : Edward Elgar Publishing |
Total Pages | : 440 |
Release | : 1997 |
Genre | : Business & Economics |
ISBN | : |
A collection of 70 influential articles which cover a range of topics, including stock indexes, arbitrage, portfolio insurance, volatility and the October 1987 crash, price distributions, theories and determinants of hedging, portfolio selection with futures, institutions, market characteristics, speculation, pricing, efficiency, interest rates and insurance, and foreign currencies. In addition, the editor has written introductory essays for each volume which analyze speculation and hedging, explore the relatively new idea that futures markets can be modelled as chaotic processes, and demystify financial futures while presenting evidence of their benefits. No subject index. Annotation copyright by Book News, Inc., Portland, OR
Author | : Jörg Biethahn |
Publisher | : Springer Science & Business Media |
Total Pages | : 384 |
Release | : 2012-12-06 |
Genre | : Business & Economics |
ISBN | : 3642612172 |
Evolutionary Algorithms (EA) are powerful search and optimisation techniques inspired by the mechanisms of natural evolution. They imitate, on an abstract level, biological principles such as a population based approach, the inheritance of information, the variation of information via crossover/mutation, and the selection of individuals based on fitness. The most well-known class of EA are Genetic Algorithms (GA), which have received much attention not only in the scientific community lately. Other variants of EA, in particular Genetic Programming, Evolution Strategies, and Evolutionary Programming are less popular, though very powerful too. Traditionally, most practical applications of EA have appeared in the technical sector. Management problems, for a long time, have been a rather neglected field of EA-research. This is surprising, since the great potential of evolutionary approaches for the business and economics domain was recognised in pioneering publications quite a while ago. John Holland, for instance, in his seminal book Adaptation in Natural and Artificial Systems (The University of Michigan Press, 1975) identified economics as one of the prime targets for a theory of adaptation, as formalised in his reproductive plans (later called Genetic Algorithms).