Maximum penalized quasi-likelihood estimation of the diffusion function

We develop a maximum penalized quasi-likelihood estimator for estimating in a nonparametric way the diffusion function of a diffusion process, as an alternative to more traditional kernel-based estimators. After developing a numerical scheme for computing the maximizer of the penalized maximum quasi-likelihood function, we study the asymptotic properties of our estimator by way of simulation. Under the assumption that overnight London Interbank Offered Rates (LIBOR); the USD/EUR, USD/GBP, JPY/USD, and EUR/USD nominal exchange rates; and 1-month, 3-month, and 30-year Treasury bond yields are generated by diffusion processes, we use our numerical scheme to estimate the diffusion function.Comment: 17 pages, 4 figures, revised versio

The Effects of International F/X Markets on Domestic Currencies Using Wavelet Networks: Evidence from Emerging Markets

This paper proposes a powerful methodology wavelet networks to investigate the effects of international F/X markets on emerging markets currencies. We used EUR/USD parity as input indicator (international F/X markets) and three emerging markets currencies as Brazilian Real, Turkish Lira and Russian Ruble as output indicator (emerging markets currency). We test if the effects of international F/X markets change across different timescale. Using wavelet networks, we showed that the effects of international F/X markets increase with higher timescale. This evidence shows that the causality of international F/X markets on emerging markets should be tested based on 64-128 days effect. We also find that the effects of EUR/USD parity on Turkish Lira is higher on 17-32 days and 65-128 days scales and this evidence shows that Turkish lira is less stable compare to other emerging markets currencies as international F/X markets effects Turkish lira on shorten time scale.F/X Markets; Emerging markets; Wavelet networks; Wavelets; Neural networks

Розробка моделі управління фінансовими інструментами на ринку з використанням методу нечіткої апроксимації

У статті проведено аналіз розроблених раніше економіко‐математичних моделей прогнозування розвитку фінансових часових рядів. Побудовано модель управління фінансовими інструментами з використанням методу нечіткоїапроксимації для  навчання та виділення типових тенденцій на аналізованому графіку. Наведено результати модельних експериментів з управління валютною парою EUR/USD, що продемонстрували високу  ефективність розробленої моделі.В статье проведен анализ разработанных ранее  экономико‐математических моделей прогнозирования развития финансовых временных рядов. Построена модель управления финансовыми инструментами с  использованием метода нечеткой аппроксимации для  обучения и выделения типовых тенденций в рассматриваемом графике. Приведены результаты модельных экспериментов по упралению валютной парой EUR /USD, продемонстрировавшие вісокую эффективность разработанной модели.In this article the previously developed  economic and mathematical models of financial time series prediction are analyzed. It’s  developed the model of financial instruments trading with usage of fuzzy approximation method for machine learning and separating of typical trends on the analyzed chart. The results of  experiments for EUR/USD trading demonstrated the high efficiency of  constructed model

Применение нечётких нейронных сетей к задаче анализа поведения котировок валют

В статті приводяться результати порівняльного аналізу застосувань радиальної базисної нейронної мережі та нечіткої нейронної мережі, запропонованої автором у [1], до задачі прогнозувань денних котирувань валютних пар EUR/GBP, EUR/USD, USD/JPY, USD/CHF. В роботі також приводиться опис нейронної мережі [1] та метод її навчання.Results of comparative analysis of application of radial-basis neural network and fuzzy neural network, was proposed by author in [1], for problem of forecasting daily currency EUR/GBP, EUR/USD, USD/JPY, USD/CHF quotes is proposed in the paper. The neural network [1] and its training method are also shown in the paper

Comparable Analysis of Long-term Memory of EUR/USD Based on Non-parametrical Statistics

Non-parameter statistical methods of classical R/S, revised R/S and V/S was proposed in long-term Memory of EUR/USD. It was concluded through comparable analysis that: (1) Through Normality Test of Return Sequences of EUR/USD Daily Closing Prices, the experimental results imply that bias of daily return sequences of EUR/USD is not equal to zero, and the curve appears to high peak and fat tail. (2) Jarque-Bera test is adopted. The estimated values reject the null hypothesis of normal distribution. (3) The paper estimates daily return series of EUR/USD using classical R/S method. The results show that Hurst exponent is equal to 0.612425; the statistical cycle is 160 days; the correlative scale is close to 1.3432. This study's conclusion was that long-term memory exists in daily return time series of EUR/USD is proved.Key words: rescaled range (R/S) analysis; rescaled variance (V/S) analysis; long-term memor

Fractals Strategies on FOREX Market

Tato moje diplomová práce se zabývá teoretickými a praktickými hledisky tvorby obchodní strategie pro devizový trh. Součástí práce je navržení indikátorů a strategie, které jsou zaměřeny na obchodování na měnovém páru EUR/USD. Navržená strategie je vyvíjena v jazyce MetaQuotes language a je optimalizována a testována na historických datech. Navržená strategie je profitová.This diploma thesis is focused on teoretical and practial aspects in the creation of trading strategie on FOREX market. The thesis include indicator and strategy that are build for tradning with EUR/USD currency. The designed strategy is developed in MetaTrader enviroment in MetaQuotes programming language. Indicator is optimalized on historical dates and choose settings for indicator to profit.

Asymmetric News Effects on Volatility : Good vs. Bad News in Good vs. Bad Times

We study the impact of positive and negative macroeconomic US and European news announcements in different phases of the business cycle on the highfrequency volatility of the EUR/USD exchange rate. The results suggest that in general bad news increases volatility more than good news. The news effects also depend on the state of the economy: bad news increases volatility more in good times than in bad times, while there is no difference between the volatility effects of good news in bad and good times

Characteristic time scales of tick quotes on foreign currency markets: an empirical study and agent-based model

Power spectrum densities for the number of tick quotes per minute (market activity) on three currency markets (USD/JPY, EUR/USD, and JPY/EUR) for periods from January 1999 to December 2000 are analyzed. We find some peaks on the power spectrum densities at a few minutes. We develop the double-threshold agent model and confirm that stochastic resonance occurs for the market activity of this model. We propose a hypothesis that the periodicities found on the power spectrum densities can be observed due to stochastic resonance.Comment: 4 pages, 7 figure

Financial Markets and Economic Growth in Poland: Simulations with an Econometric Model

In this paper we present simulations of economic performance of the Polish economy based on a quarterly econometric model. The model consists of 22 stochastic equations, which link the financial market with the real economy. The purpose of the research is to present effects of changes to domestic and foreign interest rates and the EUR/USD exchange rate on economic growth in Poland over the period Q2, 1993 – Q2, 2003.financial market, economic growth, econometric model, simulation, Poland

Empirical Study of the 1-2-3 Trend Indicator

In this paper we study automatically recognized trends and investigate their statistics. To do that we introduce the notion of a wavelength for time series via cross correlation and use this wavelength to calibrate the 1-2-3 trend indicator of Maier-Paape [Automatic One Two Three, Quantitative Finance, 2013] to automatically find trends. Extensive statistics are reported for EUR-USD, DAX-Future, Gold and Crude Oil regarding e.g. the dynamic, duration and extension of trends on different time scales.Comment: 21 pages, 13 figures, 5 tables; Keywords: market technical trends, automatic trend analysis, wavelength of time series, autocorrelatio