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5

Certain regulations in a country might inhibit the values of a unit of currency from being the same within the borders of the country and outside. There might be foreign exchange or banking regulations. For example, the eurodollar rate is different from the dollar inside the US, since there are reserve requirements dictated by the Fed. Basically, same ...


5

Today (1 day after the fact) the following headline appeared in the Financial Times: "September Fed rate lift-off put in doubt, Fallout from China’s currency move turns market mood". If true, this would certainly explain why the USD declined (i.e. the interest rate rise that everyone expected has been postponed). However, in my experience it is very hard to ...


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To answer this question, lets dive into some of the factors that generally determine foreign exchange rates. I've outlined the two of the most widely discussed factors below. Current account balance An economy's current account is a component of an economy's balance of payments and is a measure of the economy's financial transactions with the rest of the ...


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It's because of onshore capital controls; units of currency cannot freely enter and leave the country and so currency held onshore (within the domain of the capital controls) is not fungible with currency held elsewhere. Hence, due to the limitations of arbitrage, those two currencies are not tightly coupled. They are related, since actual physical onshore ...


3

Yes, you can use e.g. the ECB daily official foreign exchange rate data as a reliable and consistent daily timeseries. ECB does a fixing at 14:15 CET, by some methodology they call a "daily concertation procedure". I don't easily find a description of the details (are they considering only traded prices, or bids and offers? How long of a time window ...


2

Position here is the residual amount of one or other currency at the end: You gave us: Time | Amount | Rate | t1 100 1.2636 t2 -1000 1.2599 t3 200 1.1612 Assuming the Amount is amount paid in USD, and the rate is EUR/USD: Time | Amount | Rate | EUR balance | USD balance t0 0 0 t1 ...


2

Perhaps this paper by Hyun Woo Byun and coauthors is what you're looking for: Using a Principal Component Analysis to develop Multi-Currency Trading algorithms in the FX market They apply principal component analysis to a currency basket of 9 pairs with a 2 month rolling window. In a second step, various techniques (logistic regression, decision trees, ...


2

What you're trying to do is express all your positions in terms of a risk currency. Then you can track your PnL in only one currency. You need to express all this in an Excel spread sheet and include some rates, a bit like the screenshot here.


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I am not sure what the purpose of your volatility calculation is. So, frankly, the question does not make 100% sense to me. However, countries do not engage in trade with just one other country but with many, so from an International Trade Theory point of view looking at a single bi-lateral rate (even an important one like SLOVAKIA/EUR) is not enough. ...


1

The volatility goes to 0 once the crown is pegged to the Euro. The value of an exchange rate between Currency1 and Currency2 the the ratio of the value of Currency1/Currency2. The realized volatility of a currency pair is the usually measured as some trailing average of the daily log-changes in this ratio. After the conversion was made the crown at a ...


1

A currency quote (EURUSD 1.1, for example) put into an equation with units is 1 EUR / 1 USD = 1.1 or 1 EUR = 1.1 USD. Units or volume of a currency pair is expressed in terms of the base currency (EUR in the example), which means bids are buying and asks are selling the base currency. I glanced a few examples and it looks like you're right, but here's one ...


1

For spot EURJPY with a USD risk currency, the EUR is expressed in USD using the EURUSD spot rate, say 1.1145 so your 100 USD means you can short 100 / 1.1145 = 89.7 EUR If you wanted to express the risk currency then you use the equivalent rate usually through the USD. In this case you would be buying EUR with your USD to then short EURJPY. So if you're ...


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What you are looking at is relative PPP, which claims that exchange rate movements are explained by relative inflation movements, see wiki. However from the picture I would guess he is looking at a bottom up purchasing power parity aggregate, which as @user1483 eluded to, is a different calculation. There are several providers of this type of index, the OECD ...


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If log returns have a symmetric distribution, prices will have a positively skewed distribution, since exponentiating induces positive skew.


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I think this is off topic, considered this is a quant board. However, if you earn money (even just a little) on the site, I'm pretty sure it will be considered a commercial site. Yahoo! encourage you to register your site, if they approve the site, then you are good to go. Taken from "Yahoo! Developer Network Guidelines": Please see our FAQ for more ...


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Book with counterpart SwedishAlphaBank, with whom you margin in SEK: USD RUB SEK SEKPnL 0 0 0 0 Buy 100 SEK worth of USD/RUB, meaning buy USD and sell RUB. 100 -100 0 0 With RUB interest rate at 0 (!), USD/RUB moves to 1.1, USD/SEK stays flat at 1 100 -100 0 9.09 Square up back to SEK on USD and RUB: 0 0 ...


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I think you're better off identifying the strategy they are using and try to find an index that matches. However the Dollar Index shows dollar performance with respect to a basket of 6 currencies - perhaps of some use USD is your base currency.


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It is not completely clear to me which question you are asking: is it I have fundamental data, now how do I translate that into risk-adjusted return? or is it I have a model that translates into risk adjusted returns, now how do I allocate funds to each currency pair? If you are asking the first question, you will need to provide more ...



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