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Econometric Modeling: International Financial Markets - Foreign Exchange eJournal

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Viewing: 1 - 50 of 1,446 papers

1.

Is Bitcoin Really Un-Tethered?

Number of pages: 119 Posted: 25 Jun 2018 Last Revised: 05 Nov 2019
Working Paper Series
University of Texas at Austin - Department of Finance and Ohio State University, Fisher College of Business
Downloads 48,937
2.

Metcalfe's Law as a Model for Bitcoin's Value

Alternative Investment Analyst Review, Q2 2018, Vol. 7, No. 2, 9-18.
Number of pages: 21 Posted: 02 Dec 2017 Last Revised: 10 Feb 2020
Accepted Paper Series
Cane Island Alternative Advisors
Downloads 9,509
3.

Cross Currency Swap Theory & Practice - An Illustrated Step-by-Step Guide of How to Price Cross Currency Swaps and Calculate the Basis Spread

Number of pages: 26 Posted: 12 Nov 2018 Last Revised: 28 Mar 2019
Working Paper Series
University of Oxford - Said Business School
Downloads 5,793
4.

Factors Influencing Cryptocurrency Prices: Evidence from Bitcoin, Ethereum, Dash, Litcoin, and Monero

Journal of Economics and Financial Analysis, 2(2), 1-27
Number of pages: 27 Posted: 26 Feb 2018 Last Revised: 12 Jan 2021
Accepted Paper Series
London School of Commerce
Downloads 5,280
5.

Lognormal vs Normal Volatilities and Sensitivities in Practice

Number of pages: 20 Posted: 08 Nov 2015 Last Revised: 20 Mar 2016
Working Paper Series
Independent, Ludwig Maximilian University of Munich (LMU) - Faculty of Mathematics, Independent and Independent
Downloads 4,977
6.

Momentum and Trend Following Trading Strategies for Currencies Revisited - Combining Academia and Industry

Number of pages: 22 Posted: 11 Apr 2017 Last Revised: 11 Jan 2019
Working Paper Series
Zurich University of Applied Sciences, Zurich University of Applied Sciences and Zurich University of Applied Sciences
Downloads 4,589
7.

How Elon Musk's Twitter Activity Moves Cryptocurrency Markets

Number of pages: 28 Posted: 15 Feb 2021 Last Revised: 13 Jan 2022
Working Paper Series
Blockchain Research Lab

Multiple version iconThere are 2 versions of this paper

Downloads 4,521
8.

Tokenomics: Dynamic Adoption and Valuation

Becker Friedman Institute for Research in Economics Working Paper No. 2018-49, Fisher College of Business Working Paper No. 2018-03-015, Charles A. Dice Center Working Paper No. 2018-15, Columbia Business School Research Paper No. 18-62
Number of pages: 76 Posted: 30 Jul 2018 Last Revised: 14 Dec 2020
Working Paper Series
Cornell University - Samuel Curtis Johnson Graduate School of Management, University of Washington - Foster School of Business and Columbia University - Columbia Business School, Finance

Multiple version iconThere are 2 versions of this paper

Downloads 4,258
9.

Trading and Arbitrage in Cryptocurrency Markets

Number of pages: 56 Posted: 21 May 2018 Last Revised: 12 Jul 2019
Working Paper Series
London School of Economics & Political Science (LSE) and Massachusetts Institute of Technology (MIT) - Sloan School of Management
Downloads 3,713
10.

Is Bitcoin a Real Currency? An Economic Appraisal

Number of pages: 23 Posted: 02 Dec 2013 Last Revised: 02 Nov 2014
Working Paper Series
New York University (NYU) - Stern School of Business
Downloads 3,414
11.

Measuring the Macroeconomic Impact of Monetary Policy at the Zero Lower Bound

Chicago Booth Research Paper No. 13-77
Number of pages: 56 Posted: 08 Sep 2013 Last Revised: 19 May 2015
Working Paper Series
University of Notre Dame - Department of Economics and Bank for International Settlements (BIS) - Monetary and Economic Department

Multiple version iconThere are 2 versions of this paper

Downloads 3,351
12.

The Impact of COVID-19 on Exchange Rate Volatility: Evidence Through GARCH Model

Number of pages: 15 Posted: 28 May 2020
Working Paper Series
University of Sousse - LAMIDED Laboratory and King Faisal University (KFU)
Downloads 2,670
13.

The Term Structure of Currency Carry Trade Risk Premia

Number of pages: 113 Posted: 16 Oct 2013 Last Revised: 03 Nov 2018
Working Paper Series
Stanford Graduate School of Business, University of North Carolina (UNC) at Chapel Hill and National Bureau of Economic Research (NBER)Massachusetts Institute of Technology (MIT) - Sloan School of Management

Multiple version iconThere are 2 versions of this paper

Downloads 2,380
14.

The Topology of Macro Financial Flows: An Application of Stochastic Flow Diagrams

Algorithmic Finance 2014, 3:1-2, 43-85
Number of pages: 44 Posted: 16 Jan 2014 Last Revised: 27 May 2014
Accepted Paper Series
Clemson University and Cornell University - Operations Research & Industrial EngineeringAbu Dhabi Investment Authority
Downloads 2,260
15.

Volatility Risk Premia and Exchange Rate Predictability

Journal of Financial Economics (JFE), Forthcoming
Number of pages: 71 Posted: 16 Mar 2013 Last Revised: 01 Jun 2015
Accepted Paper Series
Imperial College Business School, Imperial College London and University of Cambridge - Judge Business School

Multiple version iconThere are 2 versions of this paper

Downloads 2,195
16.

Factor Timing

Number of pages: 79 Posted: 05 Apr 2017 Last Revised: 31 Dec 2019
Working Paper Series
University of California, Los Angeles (UCLA) - Anderson School of Management, University of Maryland - Robert H. Smith School of Business and University of Colorado at Boulder - Department of Finance

Multiple version iconThere are 3 versions of this paper

Downloads 2,192
17.

Foreign Exchange Market Mechanism

Number of pages: 44 Posted: 19 Aug 2009
Working Paper Series
affiliation not provided to SSRN
Downloads 2,037
18.

The Regulation of Cryptocurrencies - Between a Currency and a Financial Product

Hebrew University of Jerusalem Legal Research Paper No. 18-10
Number of pages: 39 Posted: 13 Feb 2018 Last Revised: 25 Jun 2019
Working Paper Series
Tel Aviv University - Cegla Center for Interdisciplinary Research of the LawThe Hadar Jabotinsky Center for Interdisciplinary Research of Financial Markets, Crises and Technology (HJC)
Downloads 1,985
19.

Exchange Rates and Sovereign Risk

Number of pages: 121 Posted: 15 Nov 2013 Last Revised: 20 Apr 2021
Working Paper Series
Imperial College Business School, University of Cambridge - Judge Business School, Goethe University Frankfurt - Department of Finance and WU Vienna University of Economics and Business

Multiple version iconThere are 2 versions of this paper

Downloads 1,959
20.

Currency Hedging and Corporate Governance: A Cross-Country Analysis

FEDS Discussion Paper No. 858, Indiana University Working Paper
Number of pages: 47 Posted: 28 May 2003 Last Revised: 25 Aug 2015
Working Paper Series
University of Georgia - Department of Banking and Finance
Downloads 1,937
21.

Trading volume and liquidity provision in cryptocurrency markets

Number of pages: 42 Posted: 13 Sep 2018 Last Revised: 20 Jun 2022
Working Paper Series
School of Economics and Finance, Queen Mary University of London, Warwick Business School and Lancaster University Management School
Downloads 1,888
22.

Good Carry, Bad Carry

Columbia Business School Research Paper No. 15-53
Number of pages: 88 Posted: 30 Apr 2015 Last Revised: 06 Mar 2018
Working Paper Series
Columbia University - Columbia Business School, Finance and Hong Kong University of Science & Technology (HKUST)

Multiple version iconThere are 4 versions of this paper

Downloads 1,879
23.

Optimal Order Placement in Limit Order Markets

Number of pages: 39 Posted: 02 Oct 2012 Last Revised: 23 Nov 2014
Working Paper Series
University of Oxford and Tower Research Capital, LLC
Downloads 1,862
24.

Intraday Forex Trading Based on Sentiment Inflection Points

Number of pages: 19 Posted: 12 Jan 2013
Working Paper Series
RavenPack International and RavenPack
Downloads 1,843
25.

Foreign Exchange Volume

Number of pages: 86 Posted: 23 Aug 2017 Last Revised: 04 Jun 2021
Working Paper Series
Bayes Business SchoolBayes Business School, University of Houston - C.T. Bauer College of Business, University of Toronto and University of Cambridge - Judge Business School

Multiple version iconThere are 2 versions of this paper

Downloads 1,838
26.

Modelling Crypto-Currencies Financial Time-Series

Number of pages: 40 Posted: 01 Sep 2017 Last Revised: 28 Oct 2019
Working Paper Series
Aarhus University - School of Business and Social Sciences and University of Rome, Tor Vergata, Faculty of Economics, Department of Economics and Finance

Multiple version iconThere are 2 versions of this paper

Downloads 1,801
27.

Currency Factors

Management Science forthcoming
Number of pages: 47 Posted: 23 Aug 2017 Last Revised: 10 Jun 2021
Working Paper Series
Neoma Business School and Columbia University - Columbia Business School, Finance

Multiple version iconThere are 3 versions of this paper

Downloads 1,656
28.

Currency Value

Number of pages: 58 Posted: 06 Sep 2014 Last Revised: 27 Jun 2015
Working Paper Series
German Institute for Economic Research (DIW Berlin), University of Cambridge - Judge Business School, Goethe University Frankfurt - Department of Finance and Bank for International Settlements (BIS) - Monetary and Economic DepartmentCREATES - Aarhus University

Multiple version iconThere are 2 versions of this paper

Downloads 1,644
29.

Deep Reinforcement Learning for Algorithmic Trading

Number of pages: 24 Posted: 10 Apr 2021
Working Paper Series
University of Oxford, University of Toronto - Department of Statistics and King's College London
Downloads 1,633
30.

Bitcoin Market Microstructure

Number of pages: 25 Posted: 11 Apr 2017
Working Paper Series
University of Hohenheim
Downloads 1,523
31.

FX Options in Target Zone

Quantitative Finance 17(10) (2017) 1477-1486, Featured Article
Number of pages: 25 Posted: 06 Dec 2015 Last Revised: 16 Sep 2017
Accepted Paper Series
New York University Finance and Risk Engineering and Quantigic Solutions LLC
Downloads 1,517
32.

Currency Premia and Global Imbalances

Winner of the Kepos Capital Award for the Best Paper on Investments at the 2013 WFA Meeting, 28th Australasian Finance and Banking Conference
Number of pages: 72 Posted: 20 Jun 2013 Last Revised: 18 Oct 2017
Working Paper Series
Imperial College Business School, University of Toronto and University of Cambridge - Judge Business School

Multiple version iconThere are 2 versions of this paper

Downloads 1,491
33.

Volatility and the Carry Trade

Journal of Fixed Income, Winter 2007
Number of pages: 27 Posted: 05 Nov 2007
Accepted Paper Series
LongTail Alpha, LLC
Downloads 1,491
34.

Comparing COVID-19 With the GFC: A Shockwave Analysis of Currency Markets

Number of pages: 24 Posted: 24 Apr 2020 Last Revised: 21 Mar 2022
Working Paper Series
American University of the Middle East (AUM)
Downloads 1,481
35.

Covered Interest Parity Arbitrage

Review of Financial Studies (forthcoming)
Number of pages: 116 Posted: 05 Dec 2016 Last Revised: 11 Jan 2022
Accepted Paper Series
BI Norwegian Business School, Bank for International Settlements (BIS) - Monetary and Economic DepartmentCREATES - Aarhus University and Norges Bank

Multiple version iconThere are 4 versions of this paper

Downloads 1,385
36.

Forward and Spot Exchange Rates in a Multi-Currency World

Fama-Miller Working Paper, Chicago Booth Research Paper No. 15-02
Number of pages: 75 Posted: 02 Jun 2013 Last Revised: 03 Feb 2017
Working Paper Series
Boston University and International Monetary Fund

Multiple version iconThere are 3 versions of this paper

Downloads 1,359
37.

Money Creation in Decentralized Finance: A Dynamic Model of Stablecoin and Crypto Shadow Banking

Fisher College of Business Working Paper No. 2020-03-030, Charles A. Dice Center Working Paper No. 2020-30
Number of pages: 78 Posted: 30 Dec 2020 Last Revised: 08 Apr 2022
Working Paper Series
University of Washington - Foster School of Business and University of Chicago - Booth School of Business

Multiple version iconThere are 2 versions of this paper

Downloads 1,324
38.

High-Frequency Jump Analysis of the Bitcoin Market

Swiss Finance Institute Research Paper No. 17-19
Number of pages: 30 Posted: 10 Jun 2017 Last Revised: 26 Jun 2017
Working Paper Series
Swiss Finance Institute - University of Geneva, University of Zurich and Ecole Polytechnique Fédérale de Lausanne
Downloads 1,323
39.

Beta'em Up: What is Market Beta in FX?

Number of pages: 15 Posted: 23 May 2014
Working Paper Series
Cuemacro
Downloads 1,303
40.

Forecasting Foreign Exchange Rate Movements with k-Nearest-Neighbour, Ridge Regression and Feed-Forward Neural Networks

Number of pages: 49 Posted: 23 Jan 2017
Working Paper Series
University of Economics, Prague - Faculty of Finance and Accounting
Downloads 1,296
41.

Market Timing and Predictability in FX Markets

HKUST Finance Symposium 2016: Active Investing and Arbitrage Capital, 29th Australasian Finance and Banking Conference 2016
Number of pages: 51 Posted: 20 Jun 2016 Last Revised: 14 Feb 2022
Working Paper Series
The University of Hong Kong, University of New South Wales, Sydney and Finance Dept., Pamplin College of Business, Virginia Tech
Downloads 1,282
42.

The Bitcoin VIX and its Variance Risk Premium

Forthcoming in the Journal of Alternative Investments
Number of pages: 28 Posted: 13 May 2019 Last Revised: 01 Jul 2021
Accepted Paper Series
University of Sussex Business School and University of Sussex
Downloads 1,273
43.

Business Cycles and Currency Returns

Number of pages: 74 Posted: 31 Jan 2017 Last Revised: 13 Sep 2019
Working Paper Series
University of North Carolina Kenan-Flagler Business School, University of Toronto and University of Cambridge - Judge Business School

Multiple version iconThere are 3 versions of this paper

Downloads 1,239
44.

Experts or Charlatans? ICO Analysts and White Paper Informativeness

Journal of Banking and Finance, Forthcoming
Number of pages: 76 Posted: 29 Oct 2018 Last Revised: 22 Mar 2022
Accepted Paper Series
University of Southern Denmark and University of Southern Denmark
Downloads 1,190
45.

The Structure of Cryptocurrency Returns

Fisher College of Business Working Paper No. 2020-03-011, Charles A. Dice Center Working Paper No. 2020-11
Number of pages: 78 Posted: 19 May 2020 Last Revised: 21 May 2020
Working Paper Series
Ohio State University, Fisher College of Business
Downloads 1,188
46.

Bitcoin Reveals Exchange Rate Manipulation and Detects Capital Controls

Number of pages: 40 Posted: 14 Jan 2016 Last Revised: 05 Aug 2017
Working Paper Series
University of Chicago - Department of Economics

Multiple version iconThere are 2 versions of this paper

Downloads 1,169
47.

Exchange Rates and Monetary Policy Uncertainty

Journal of Finance, Forthcoming, Columbia Business School Research Paper No. 16-3
Number of pages: 42 Posted: 20 Dec 2015 Last Revised: 11 Dec 2016
Accepted Paper Series
Warwick Business School Finance Group, Northwestern University - Kellogg School of Management and Boston University - Department of Finance & Economics
Downloads 1,153
48.

How Two Profitable Trading Systems for Eurodollar Futures Were Developed

Number of pages: 61 Posted: 25 May 2018 Last Revised: 10 Jun 2018
Working Paper Series
Stuart School of Business, Illinois Institute of Technology
Downloads 1,139
49.

Forecasting Exchange Rates: An Investor Perspective

CESifo Working Paper Series No. 4238
Number of pages: 40 Posted: 22 May 2013
Working Paper Series
CESifo (Center for Economic Studies and Ifo Institute)University of California, San Diego (UCSD) - Rady School of Management, BlackRock, Inc and BlackRock, Inc
Downloads 1,126
50.

Direct Evidence of Bitcoin Wash Trading

Number of pages: 51 Posted: 03 Jun 2019 Last Revised: 27 Jul 2021
Working Paper Series
Neoma Business School and George Mason University - Department of Finance
Downloads 1,115