Forex

Résumé

vignette|Conversion de monnaie Le Forex (en anglais Foreign exchange market ou FX), ou marché des changes, est le marché sur lequel les devises dites convertibles (paire de devises) sont échangées l’une contre l’autre à des taux de change qui varient en permanence. On ne peut pas échanger de devises mais on achète une monnaie numérique €-$ qu'il faut ensuite revendre en euro. Il n'y a pas de conversion possible de l'euro en dollar. Le Forex est fait pour parier à la hausse ou à la baisse d'une devise face à une autre. Importance économique Ce marché, mondial par nature, est le deuxième marché financier de la planète en volume global, derrière celui des taux d'intérêt. Il est néanmoins le plus concentré et le premier pour la liquidité des produits les plus traités, comme la paire euro/dollar : le volume quotidien moyen des échanges était de 5 100 milliards de dollars américains en 2016, soit une baisse de 6 % du volume par rapport à 2013. Tous les chiffres qui suivent sont

Source officielle

https://fr.wikipedia.org/wiki/Forex

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A daily return reversal measure of liquidity is developed and estimated using a new comprehensive ultra-high frequency data set of foreign exchange rates during the financial crisis period of 2007--2008. The measure captures market participants' perception of periods with high and low liquidity in the expected manner. Tests for commonality in foreign exchange (FX) liquidity show that liquidity co-moves strongly across currencies. Systematic FX liquidity decreases dramatically during the subprime crisis, especially after the default of Lehman Brothers in September 2008. To investigate whether there exists a return premium for illiquidity, a factor model similar to Lustig, Roussanov, and Verdelhan (2009) is augmented by a liquidity risk factor constructed from shocks to systematic liquidity. Empirical results indicate that liquidity risk is a heavily priced state variable important for the determination of FX returns. Previously identified risk factors such as the carry trade and market risk factors are no longer significant once common liquidity risk is incorporated in the asset pricing model. This finding helps to explain deviations from uncovered interest rate parity as classical tests do not include liquidity risk.

2009

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Trading mechanisms in over-the-counter markets

Sebastian Vogel

In the chapter

When to Introduce Electronic Trading Platforms in Over-the-Counter Markets?'' An equilibrium in a market is determined in which traders have the choice between using an electronic platform with a request-for-quote protocol or calling a dealer directly. The main takeaway is that platforms increase the bargaining power of traders with search costs, thereby increasing their market participation and potentially also welfare. Another friction that affects trading in OTC markets are informational frictions. market participants may learn from trading activity on platforms and trade on that information in other trading venues. The interplay between an electronic trading platform in the dealer-to-customer market and the interdealer market is analysed in the chapter

Electronic Trading in OTC Markets vs. Centralized Exchange.'' In that chapter, a two-tiered OTC market is compared with a fully centralized market, showing that informed traders may prefer the two-tiered structure in order to benefit from their information. This ability of decentralized OTC markets to deal with asymmetric information is also a major benefit of OTC markets compared to exchange markets in welfare considerations. In the chapter ``Informed Traders and Dealers in the FX Forward Market,'' it is analyzed whether such informational frictions exist, whether dealers are able to mitigate those by charging different markups to different clients and whether we behavior consistent with the alleviation of informational frictions.

EPFL2020

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The total benefit of alternative assets to pension fund portfolios

Anna Slavutskaya

Pension funds only quite recently have explored alternative assets, prodded by financial crises that devastated equity returns and led to low bond returns. We assess the addition of alternative assets to pension fund portfolios in terms of the total benefit derived from diversification, addition of positive skewness, and the elimination of left tails in returns. During 1994-2012, adding portfolios of hedge funds produced significantly higher total benefits than adding real estate, commodities, foreign equities, mutual funds, funds of funds, as well as some counter cyclical and non-cyclical assets. Conditioning on past total benefits improves the out-of sample performance even further. (C) 2016 Elsevier B.V. All rights reserved.

Elsevier Science Bv2016

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