Concept
Carry trade
Publications associées (10)
Exchange Rate Analysis by Nonlinear Time Series Method
A financial data analysis using the time series method has been performed. At the same time a correct interpretation of daily exchange rates fluctuations, for Eur foreign currencies is presented. The fractal dimension evaluation has been performed using th ...
AMER INST PHYSICS2020Bartering Books to Beers: a Recommender System for Exchange Platforms
Michele Catasta, Jérémie Rappaz, Maria-Luiza Vladarean
Bartering is a timeless practice that is becoming increasingly popular on the Web. Recommending trades for an online bartering platform shares many similarities with traditional approaches to recommendation, in particular the need to model the preferences ...
2017Default And Systemic Risk In Equilibrium
We develop a finite horizon continuous time market model, where risk-averse investors maximize utility from terminal wealth by dynamically investing in a risk-free money market account, a stock, and a defaultable bond, whose prices are determined via equil ...
Wiley-Blackwell2015Liquidity in the Foreign Exchange Market: Measurement, Commonality, and Risk Premiums
Loriano Mancini, Angelo Ranaldo
We provide the first systematic study of liquidity in the foreign exchange market. We find significant variation in liquidity across exchange rates, substantial illiquidity costs, and strong commonality in liquidity across currencies and with equity and bo ...
Wiley-Blackwell2013Disaggregating Real Exchange Rate Dynamics: A Structural Approach
This paper employs a small open economy DSGE model, estimated over 1986-2009, to decompose the dynamic influence of domestic and international prices on the Canada-US real exchange rate. While the real exchange rate mimics the dynamic behavior of the relat ...
Ghent University Faculty of Economics and Business Administration Working Paper 2010/6552011Multicriteria methods for assessing pharmaceuticals hazard for the environment
Among emerging pollutants found in surface and ground waters, pharmaceuticals are currently receiving a particular interest. There are several physico/chemical parameters that could describe the fate of pharmaceuticals in the environment, so as their toxic ...
2010Liquidity in the Foreign Exchange Market: Measurement, Commonality, and Risk Premiums
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 ...
2009An Extension of ETF Arbitrage to Sector Trading Using ANN
Utkarsh Upadhyay, Ramnik Arora
We design and deploy a trading strategy that mirrors the Exchange Traded Fund (ETF) arbitrage technique for sector trading. Artificial Neural Networks (ANNs) are used to capture pricing relationships within a sector using intra-day trade data. The fair pric ...
2009Which Colors Best Catch Your Eyes: a Subjective Study of Color Saliency
Touradj Ebrahimi, Elisa Drelie Gelasca
To determine Regions of Interest (ROI) in a scene, percep-tual saliency of regions has to be measured. When scenes are viewed with the same context and motivation, these ROIs are often highly correlated among different people. As a result, it is possible t ...
SPIE2005Volatility and Sovereign Default
Over and over again, history shows that countries default on external debt when their economies experience a downturn. This paper presents a theoretical model of international lending that is consistent with this evidence. Productivity is stochastic and in ...
2003