Frequency analysis of tick quotes on the foreign exchange market and agent-based modeling: A spectral distance approach

High-frequency financial data of the foreign exchange market (EUR/CHF, EUR/GBP, EUR/JPY, EUR/NOK, EUR/SEK, EUR/USD, NZD/USD, USD/CAD, USD/CHF, USD/JPY, USD/NOK, and USD/SEK) are analyzed by utilizing the Kullback-Leibler divergence between two normalized spectrograms of the tick frequency and the generalized Jensen-Shannon divergence among them. The temporal structure variations of the similarity between currency pairs is detected and characterized. A simple agent-based model in which $N$ market participants exchange $M$ currency pairs is proposed. The equation for the tick frequency is approximately derived theoretically. Based on the analysis of this model, the spectral distance of the tick frequency is associated with the similarity of the behavior (perception and decision) of the market participants in exchanging these currency pairs.Comment: 19 pages, 10 figures, APFA

Agenda 2000. Por una unión más fuerte y más amplia

Sin resume

The European Added Value of a Directive on Combatting Violence Against Women: Annex 2 Economic Aspects and Legal Perspectives for Action at the European Level

The paper investigates the economic cost of violence against women for the EU and compares the costs of action and inaction. Violence against women is estimated to cost the EU EUR 226 billion each year, including EUR 45 billion for services and EUR 24 billion in lost economic output. The costs of preventive measures are substantially less than the cost of the violence

Macroeconomic announcements, communication and order flow on the Hungarian foreign exchange market

We investigate the relation between the intradaily HUF/EUR exchange rate on the one hand and news announcements and order flow on the other hand. We extend the existing literature on foreign exchange market microstructure by considering a small open transition economy. We find that the intradaily exchange rate depends on both news announcements and order flow. We conclude that news on the HUF/EUR market are transmitted directly via immediate reactions to news announcements as well as indirectly via order flow. We decompose the news’ total effect on exchange rate and find that order flow accounts for approximately three quarters, compared to one quarter for direct news impact. Although the HUF is pegged to the EUR, the exchange rate reacts very qualitatively very similarly to exchange rates of major currencies as reported in the literature, whereas it quantiatively differs: the importance of indeirect news transmission is remarkably higher on the HUF/EUR market. Furthermore, we extend the commonly used news to communication of central bankers significantly improving the explanatory power of the estimates. Central bank communication is an important determinant for the HUF/EUR rate

Are EUR and GBP different words for the same currency ?

The British Pound (GBP) is not part of the Euro (EUR) monetary system. In order to find out arguments on whether GBP should join the EUR or not correlations are calculated between GBP and EUR, including a reconstructed EUR for the time interval from 1993 till June 30, 2000. The distribution of fluctuations of the exchange rates is Gaussian for the central part of the distribution, but has fat tails for the large size fluctuations. Within the Detrended Fluctuation Analysis (DFA) statistical method the power law behaviour describing the root-mean-square deviation of the exchange rate fluctuations is obtained as a function of time for the time interval of interest. The time-dependent exponent evolution of the exchange rate fluctuations is given. Statistical considerations imply that the GBP is already behaving as a true EUR.Comment: 10 pages, 5 figure

Coxeter submodular functions and deformations of Coxeter permutahedra

We describe the cone of deformations of a Coxeter permutahedron, or equivalently, the nef cone of the toric variety associated to a Coxeter complex. This family of polytopes contains polyhedral models for the Coxeter-theoretic analogs of compositions, graphs, matroids, posets, and associahedra. Our description extends the known correspondence between generalized permutahedra, polymatroids, and submodular functions to any finite reflection group.Comment: Minor edits. To appear in Advances of Mathematic

Relativistic length agony continued

An attempt is made to remedy confusing treatments of some basic relativistic concepts and results in recent papers by Franklin (2010 {\it Eur. J. Phys.} {\bf 31} 291-8) and by McGlynn and van Kampen (2008 {\it Eur. J. Phys.} {\bf 29} N63-N67). The authors' misconceptions are recurrent points in the literature

Comment on `About the magnetic field of a finite wire'

A flaw is pointed out in the justification given by Charitat and Graner [2003 Eur. J. Phys. vol. 24, 267] for the use of the Biot--Savart law in the calculation of the magnetic field due to a straight current-carrying wire of finite length.Comment: REVTeX, 3 pages. A slightly expanded version that has been accepted for publication by Eur. J. Phy