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Results for “FX (Foreign Exchange)”

30 findings

75match

Finding 52791 source

Using nearly two decades of Chicago Mercantile Exchange data and new measures like MALM, the studys robust models show predictive power, but questions remain about underlying economic drivers and market frictions.

LexicalMeaningQualityGraph

Matched: exchange, foreign

73match

Finding 52771 source

Researchers reveal that large, sudden FX rate moveslong considered randomcan be predicted using the term structure of option-implied volatility, challenging the traditional view of these events as unpredictable 'financial earthquakes.'.

LexicalMeaningQualityGraph

Matched: exchange, foreign

72match

Finding 52781 source

When short-term FX options are pricier than long-term ones, creating a downward-sloping implied volatility curve, it signals a higher likelihood of a major currency move, offering investors profitable trading opportunities.

LexicalMeaningQualityGraph

Matched: exchange, foreign

72match

Finding 47041 source

The study spotlights rising internalized, non-visible trading and the growing influence of emerging market currencies, notably the Chinese renminbi, but notes the need for deeper analysis of long-term risks and effects.

LexicalMeaningQualityGraph

Matched: exchange, foreign

71match

Finding 52801 source

This paper uniquely demonstrates that inverted option-implied volatility (IV) term structures can predict large FX moves, challenging the conventional Poisson jump model. By empirically validating this across major currency pairs and presenting a practical strangle trading strategy, it offers original, impactful insights for both academic research and quantitative trading.

LexicalMeaningQualityGraph

Matched: exchange, foreign

71match

Finding 47051 source

This paper offers a comprehensive, timely empirical analysis of global FX market turnover, focusing on the effects of US tariff announcements and monetary policy tightening. While it employs established methods and extends existing knowledge, its originality lies in detailed hedging and intragroup trading insights, making it relevant for FX, market microstructure, and risk management.

LexicalMeaningQualityGraph

Matched: exchange, foreign

71match

Finding 47021 source

Global FX market turnover hit a record $9.5 trillion per day in April 2025, surging 27% since 2022, fueled by US dollar depreciation and volatility after unexpected US tariff announcements.

LexicalMeaningQualityGraph

Matched: exchange, foreign

70match

Finding 47031 source

Investors, especially non-bank financial institutions, rapidly increased hedging with forwards and optionsoptions trading more than doubledwhile dealers internalized trades, stabilizing markets despite turmoil, according to the 2025 BIS Triennial Central Bank Survey.

LexicalMeaningQualityGraph

Matched: exchange, foreign

66match

Finding 44491 source

The comprehensive analysis uncovers a major shift in investor behavior toward safe-haven currencies, demonstrating diminished impact from macro news during the pandemic and noting limitations in data sharing and generalizability.

LexicalMeaningQualityGraph

Matched: exchange, foreign

66match

Finding 44481 source

Innovatively, researchers integrate high-frequency $5$-minute intraday data and introduce climate risk using factory orders, contrasting scheduled macroeconomic releases with unscheduled pandemic developments like new cases, deaths, and governmental responses worldwide.

LexicalMeaningQualityGraph

Matched: exchange, foreign

66match

Finding 44501 source

This paper integrates climate risks and news into FX market analysis. It employs econometric time series methods to examine $r$ returns and volatility $\sigma$, providing insights compared to conventional approaches. The originality and novelty of this synthesis make it a compelling read for scholars in quantitative finance and climate impact.

LexicalMeaningQualityGraph

Matched: exchange, foreign

65match

Finding 44471 source

A study reveals that before COVID-19 currency returns followed traditional macroeconomic news, but during the pandemic, market focus shifted to pandemic-specific events, with vaccine announcements surprisingly increasing volatility amid uncertainty.

LexicalMeaningQualityGraph

Matched: exchange, foreign

64match

Finding 68101 source

CNY has become the worlds fifth most traded currency, and the USD/CNY pair is now the third most traded globally, surpassing USD/GBP, driven by April 2025s exchange rate volatility.

LexicalMeaningQualityGraph

Matched: exchange, foreign

63match

Finding 68111 source

Despite rapid growth, most CNY trades are still against the USD, and FX trading in CNY relative to Chinas economic size remains low, with market fragmentation from capital controls affecting liquidity.

LexicalMeaningQualityGraph

Matched: exchange, foreign

63match

Finding 68121 source

This paper offers a timely, data-driven synthesis of the Renminbis and other EME currencies growing roles in global FX trading, leveraging recent BIS survey data. While it lacks novel methodologies or theoretical advances, its up-to-date market insights and regulatory analysis make it compelling for practitioners and researchers seeking current perspectives.

LexicalMeaningQualityGraph

Matched: exchange, foreign

63match

Finding 68091 source

Emerging market currencies now make up a record 29% of global FX turnover, with the Chinese renminbi (CNY) and Hong Kong dollar (HKD) leading the surge, according to BIS data.

LexicalMeaningQualityGraph

Matched: exchange, foreign

62match

Finding 25111 source

A study on the Colombian foreign exchange market reveals that dealers winning central bank auctions suffer inventory effects, repurchasing dollars at elevated interdealer prices to rebuild stocks, exposing unexpected costs.

LexicalMeaningQualityGraph

Matched: exchange, foreign

62match

Finding 25151 source

The study reveals that on major U.S. macroeconomic announcement days preceded by Treasury auctions, currencies appreciate by roughly 8 basis points, linking safe asset demand to pronounced FX market behavior.

LexicalMeaningQualityGraph

Matched: exchange, foreign

62match

Finding 25171 source

Innovative methods using 24 years of high-frequency FX, auction, and macro data via regression and bootstrapping reveal diminished primary dealer participation drives FX drifts before and after announcements in markets.

LexicalMeaningQualityGraph

Matched: exchange, foreign

62match

Finding 25161 source

A surprising pattern emerges as similar macro announcement days without auctions show no unusual FX returns, emphasizing the unique impact of Treasury auctions on currency movements around key economic events.

LexicalMeaningQualityGraph

Matched: exchange, foreign

61match

Finding 47321 source

Using Finaeon data (1995--2024) on 10 currencies and 1/2/5/10-year rates, the GNN tops MLPs in MSE; FXSA lifts ratio 61.89%, Sortino 45.51%, cuts volatility 52.23%, drawdown 44.77%, trimming returns 22.73%.

LexicalMeaningQualityGraph

Matched: exchange, foreign

61match

Finding 47341 source

Introduces a two-step FX framework: edge-level spatiotemporal graph regression using interest-rate and MLE currency-value features, followed by stochastic-optimization statistical arbitrage modeling observation--execution lags with projection/ReLU ensuring provable constraints and an exchange influence graph. Demonstrates significant MSE and risk-adjusted gains. Novel integration within FX is distinctive and practical, though not unprecedented.

LexicalMeaningQualityGraph

Matched: exchange, foreign

61match

Finding 30091 source

The study extends factor models into a multidimensional framework by introducing 'Tucker factors,' an alternative to PCA via alternating least squares sorting, though sensitivity to dynamic shifts warrants additional research.

LexicalMeaningQualityGraph

Matched: exchange, foreign

61match

Finding 47331 source

Notably, the approach provably satisfies arbitrage constraints, outperforming penalty relaxations. Strengths: principled enforcement, lag-aware design, rigorous out-of-sample validation. Limitations: daily-close granularity, simplified borrowing/transactions, forward-filling, excluding CNY, evaluating only 10 currencies.

LexicalMeaningQualityGraph

Matched: exchange, foreign

61match

Finding 47311 source

Researchers debut a two-step graph method: currencies nodes, exchanges edges; IRs node features, FX edge features; prediction with MLE-derived currency values, plus FX StatArb maximizing ratio, arbitrage enforced by projection/ReLU.

LexicalMeaningQualityGraph

Matched: exchange, foreign

61match

Finding 46241 source

Researchers harness generative AI to reveal striking predictive signals in currency returns, linking economic fundamentals with exchange rate movements, challenging the long-standing disconnect puzzle with robust statistical Sharpe ratios remarkably.

LexicalMeaningQualityGraph

Matched: exchange, foreign

60match

Finding 30081 source

A second latent factor reliably hedges carry trade crash risk, while additional factors reduce pricing errors and notably enhance Sharpe ratios, although higher-order factors exhibit instability across multiple time periods.

LexicalMeaningQualityGraph

Matched: exchange, foreign

60match

Finding 30071 source

The study introduces an innovative three-dimensional tensor factor model using Tucker decomposition to analyze currency characteristics over time across currencies, revealing a dominant stable latent factor mirroring traditional carry trade.

LexicalMeaningQualityGraph

Matched: exchange, foreign

60match

Finding 35561 source

The paper applies pairwise copulas and a modified differential evolution algorithm within a unified, datadriven framework to examine nonlinear interactions among Chinas stock, foreign exchange, and housing markets. Revealing dual equilibrium states and complex dynamics, the study offers quantitative insights merging established financial modeling with novel techniques. Offering practical relevance.

LexicalMeaningQualityGraph

Matched: exchange, foreign

59match

Finding 25181 source

Leveraging high-frequency FX data, the paper uncovers a fresh link between U.S. Treasury auctions and abnormal FX market returns on macroeconomic announcement days. Its innovative focus on treasury auctions as a precursor provides novel insights into market dynamics, offering compelling contributions that challenge conventional announcement effect literature in quantitative finance.

LexicalMeaningQualityGraph

Matched: exchange, foreign