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Purpose: The aim of this article is to verify whether the Swiss franc (CHF), the US dollar (USD), and the Japanese yen (JPY) continue to function as safe haven currencies in the financial markets of the 21st century. Design/methodology/approach: Analysis of correlations of logarithmic returns of major currency indices with the S&P 500 index during periods of financial instability and additional verification of net positions of selected market participants. Findings: Based on the analysis of the return correlations of CHF, JPY, and USD with the S&P 500 during periods of heightened uncertainty in the 21st century, these currencies still serve as safe havens. However, the net positions of large speculators in the futures markets do not confirm that this is being utilized. Practical implications: The conclusions may help both businesses and individuals stabilize portfolio volatility during periods of heightened uncertainty in financial markets. Social implications: Conclusions may help mitigate social inequalities arising during financial crises by appropriate currency diversification of held assets. Originality/value: The research comprehensively addresses the current situation during periods of heightened volatility in the 21st century. Additionally, the analysis of return correlations is supplemented by verification of net positions in the futures market using commitment of traders reports. This work is directed towards businesses, households investing surplus finances, and financial institutions. [ABSTRACT FROM AUTHOR]

Forecasts look for a conditional expected value and too often refer to linear regression models that are irrational from the point of view of time series. Simple averaging has its advantages, but it must take into account other external factors that may contradict the mathematical formulas and modeling schemes used. For this reason, the aim of this article is to present a typology of exchange rate forecasting methods as an interdisciplinary paradigmatic framework for optimizing the possibility of determining the price of a given monetary unit of a given country expressed in other monetary units. The hypothesis was adopted that the impact of fundamental categories on the exchange rate and its microstructure require the ability to alternate between quantitative and qualitative forecasting models and the theory of exchange rates in economic theory. The research limitation is the deliberate abandonment of forecast analyzes of the exchange rate using econometrics, the apparatus of mathematical economics, or the qualitative school of forecasting results themselves, in favor of an analysis of the literature on the subject of research and an attempt to subjectively and openly catalog them.

The currency market is one of the main markets of the world's modern financial and economic systems. With respect to the availability of information, this market is the most data-rich and public. These two features allow it to be viewed as volatile. This study aims to assess the dependence of the currency market's volatility on the conditions and factors that formed during the COVID-19 pandemic. The research used statistical and correlation analysis and general scientific methods (notably, the abstraction method). The study examined the effects of pandemic events on currency market volatility, revealing a quantitative measure of approximately 2% of reactions in response to global economic and political events. Correlation analysis revealed an insignificant effect of the dollar index on the change in currency market volatility during the COVID-19 pandemic (r = 0.09). The outcomes indicated the impact of the disease factor on currency trading at the 0.8% level (r2 = 0.0081). The research conclusions suggest that the effects of information on the currency market differed during 2015-2019 and deviated in response to various political and economic events. The study highlights that the COVID-19 pandemic and its aftermath did not significantly influence the currency pairs' volatility. In the future, if crisis trends re-emerge, the findings of this study may influence the behavior of investors and participants in currency markets and global trade. This could affect their investment decisions, currency reserve diversification, insurance strategies, and capital migration. [ABSTRACT FROM AUTHOR]

The article analyzes the main changes in the Russian currency market in the context of modern realities — unprecedented geopolitical pressure, changes in the financial, currency and payment landscape under the influence of sanctions. The purpose of the article is to study the directions of ruble settlements, financial integration and trade in currencies of friendly countries in response to structural changes in the Russian currency market. A significant decrease in the share of the dollar in international payments, reserves and transactions in the foreign exchange market is noted. Much attention is paid to the current trends of dedollarization and diversification of financial markets, which the exchange infrastructure has developed under the influence of difficult external conditions. The authors conducted a study to answer the debatable question of whether the rise in popularity of national currencies was natural or accidental. They support their conclusions with historical statistical data on transactions in the foreign exchange market.

Aim. The purpose of the study is to substantiate the concept and structure of the common financial market of the Eurasian Economic Union, highlight the problems of its formation and ways to solve them. Tasks. The objectives of the study are: review and analysis of the definitions of the common financial market in the legal framework of the Eurasian Economic Union; highlighting key aspects of the development of the common financial market; defining its structure, problems of formation, proposing ways to solve them.Methods. Methods were used: institutional analysis, comparative analysis, system analysis to substantiate aspects of the formation and structure of the common financial market of the Eurasian Economic Union. The method of formal logical analysis was also used to clarify the concepts of the common financial market in various acts of the integration level.Results. Firstly, at the level of the Eurasian Economic Union, the concept and criteria of a common financial market have been established.Secondly, a broad and narrow understanding of the structure of the common financial market in the context of Eurasian integration is highlighted.Thirdly, the key aspects of the development of the common financial market are: expanding the range and accessibility of financial services; ensuring the rights of consumers of financial services and investors; security and transparency of financial services.Fourthly, the problems of forming a common financial market are highlighted, including the different levels of development of the markets of the integration member states, the weak sector of the securities and investment markets.Conclusions. The common financial market is part of Eurasian integration, the processes of formation of such a market are components of integration processes. The structure of the general financial market in the narrow sense includes the banking and insurance services sector, the securities market sector, and the relations between these sectors. A broad understanding of the structure of the general financial market additionally includes the tax, budget and currency areas.

The article substantiates the possibility of using R\S analysis for currency market research. The work is aimed at researching the currency market. The issue of research using R\S of the currency market is a new scientific direction. The study of the foreign exchange market, its regulation, influence on the financial systems of the countries of the world is gaining relevance these days. Foreign exchange transactions are often equated with the process of buying or selling securities. The paper analyzes the behavior of currency quotes on the foreign exchange market by determining the dynamic changes over time of the Hurst indicator, as one of the tools of R/S analysis, within the framework of the fractal market hypothesis. Calculations of the Hearst index were carried out according to the adjusted formulas of R/S-analysis, which allows to compare the value of the indicator on the foreign exchange market of Ukraine in different economic conditions. In a stable economic situation, the Hearst indicator tends to maintain its average value, while it is an indicator of events that directly or indirectly affect the state's economy and the rate of its national currency. The purpose of the work is to study the behavior of exchange rates of currency pairs by monitoring the Hurst indicator, as one of the tools of fractal analysis, within the framework of the fractal market hypothesis. Forecasting the future behavior of exchange rates is very important, as it allows to reduce currency risks and ensure the improvement of the effectiveness of various decisions in the field of international financial management. The Hurst indicator is widely used in time series analysis due to its stability. Its calculation requires minimal assumptions about the system being studied, and based on it, time series can be classified by memory type and depth. It can distinguish a random series from a non-random one. The paper provides an example of calculating the Hurst index using Mandelbrot's method. This indicator is used as an indicator of the long-term memory of time series. Hurst's indicator as a tool for fractal analysis of systems allows you to determine the degree of persistence of financial series, the presence of long-term memory in the currency market. Daily data on the exchange rate of the hryvnia to the dollar and the euro are taken from the official website of the NBU. It turned out that periods of stability of the hryvnia exchange rate relative to other currencies are observed in different years. Accordingly, the fractal dimension of the series also changes. For most periods of the hryvnia exchange rate, anti-persistent series were found, that is, when the decline is most likely replaced by growth. R\S analysis techniques analysis is a key tool for market analysis, which allows you to understand when and which assets should be bought and when to sell.

The level of currency exchange security is an important indicator of the effective functioning of the currency exchange market. An imbalance in the domestic currency exchange market intensifies financial instability and makes it impossible to maintain an adequate level of currency security. The purpose of the research is to estimate the level of currency security of Ukraine in the conditions of currency market imbalance to determine the main reasons for its inadequate level and to make proposals for improving the methodology of calculation of the integral index of currency security. The article offers the author's interpretation of the essence of the concept of "currency security". The integral index of currency security during 2008 - 2022 was calculated in accordance with the "Methodical recommendations for calculating the level of economic security of Ukraine" and recommendations were suggested for improving this methodology in order to improve the situation on the currency market. It was proved that certain indicators make an impact on the level of currency security of Ukraine: movement of capital, negative trade balance, sufficient level of international reserves, dollarization of the economy, and high level of public debt. Ways to ensure an adequate level of currency security were proposed. Macroeconomic indicators that can act as indicators of currency security are considered and the correlation between them and the level of currency security was investigated. The expediency of introducing an additional indicator for the integral assessment of currency security is substantiated: the ratio of state and state-guaranteed debt to GDP. It allows to calculate the level of currency security more reliably. It is well-founded that the proposed indicator has a close stochastic connection with the exchange rate, therefore, if it is used with existing indicators of currency security calculation, it allows to detect negative trends of decreasing of the level of currency security. [ABSTRACT FROM AUTHOR]

Copyright of Ekonomista is the property of Polskie Towarzystwo Ekonomiczne & Institute of Economic Sciences of the Polish Academy of Sciences and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.)

The level of currency exchange security is an important indicator of the effective functioning of the currency exchange market. An imbalance in the domestic currency exchange market intensifies financial instability and makes it impossible to maintain an adequate level of currency security. The purpose of the research is to estimate the level of currency security of Ukraine in the conditions of currency market imbalance to determine the main reasons for its inadequate level and to make proposals for improving the methodology of calculation of the integral index of currency security. The article offers the author's interpretation of the essence of the concept of "currency security". The integral index of currency security during 2008 - 2022 was calculated in accordance with the "Methodical recommendations for calculating the level of economic security of Ukraine" and recommendations were suggested for improving this methodology in order to improve the situation on the currency market. It was proved that certain indicators make an impact on the level of currency security of Ukraine: movement of capital, negative trade balance, sufficient level of international reserves, dollarization of the economy, and high level of public debt. Ways to ensure an adequate level of currency security were proposed. Macroeconomic indicators that can act as indicators of currency security are considered and the correlation between them and the level of currency security was investigated. The expediency of introducing an additional indicator for the integral assessment of currency security is substantiated: the ratio of state and state-guaranteed debt to GDP. It allows to calculate the level of currency security more reliably. It is well-founded that the proposed indicator has a close stochastic connection with the exchange rate, therefore, if it is used with existing indicators of currency security calculation, it allows to detect negative trends of decreasing of the level of currency security.

The efficiency of pension asset management, reflected in their performance, determines the stability of the funded pension system of Kazakhstan, and also has the potential to significantly affect the budget process, since the state guarantees recipients a positive real return on their pension savings and compensates from the budget for losses incurred during periods when inflation exceeds the nominal rate of return. The need to ensure a positive real return on pension assets managed by the National Bank of Kazakhstan determines not only the high relevance of the issue of investment management itself, but also other aspects that affect the return, including changes in the exchange rate of the Kazakhstani tenge. The subject of the article is the impact of the tenge exchange rate on the profitability of pension assets, which can be very significant, since it forms one of the main components of investment income — income from foreign currency revaluation. This influence can also act as a factor in the formation of the tenge exchange rate during periods when the real return of pension assets decreases due to the negative situation in the financial markets and high inflation, and this thesis reflects the scientific novelty of the article. The assessment of the hypothesis about the formation of the relationship between the exchange rate of the Kazakhstani currency and the investment yield of pension assets is the aim of this work, and the identification of the main causes and consequences of this phenomenon is its task. Comparative and correlation analysis of indicators of investment return of pension assets, changes in the exchange rate of the Kazakhstani currency, parameters of the external sector and others were used as research methods. The results of the analysis confirm the existence of a relationship between the indicators of profitability of pension assets and the tenge exchange rate, and allow us draw the conclusion that this profitability has an indirect impact on the formation of the Kazakhstani currency exchange rate over the past few years, which has been characterized by non-standard dynamics in the context of a significant improvement in the external economic environment.

The up‐and‐coming influence of the RMB on currency co‐movements is examined in this paper, in the context of a transpiring tri‐polar international monetary system advocated in prior studies. The study is empirically conducted against the backdrop of a more variable RMB exchange rate regime, which enables the integration of the RMB into the international monetary system. The influence of the RMB is found most evident in Asia, being modest in Latin America while reaching Africa. The RMB co‐moves most with the currencies of countries that have large shares in trade with China considerably. Meanwhile, a residual‐based instrumental variables model is proposed in this study purposely for dealing with issues of common factor dominance, which prevails in currency co‐movements. The emerging influence of the RMB on currency co‐movements arises at the time when a multiple‐reserve currency system is coming, and the RMB is included as the third largest currency in the SDR basket. It is shored up by the improved infrastructure, strengthened central bank cooperation and expanded networks for cross‐border RMB payments and settlements. It is concluded that the RMB has increasingly integrated into the international monetary system as one of the major players, effecting currency market movements actively alongside the US dollar and euro. [ABSTRACT FROM AUTHOR]

This paper studies the situation of currency markets as dependent variable to analyze the most important factors affecting the Afghanistan currency markets as independent variables. The objectives are finding out solutions for the problems and identifying the effects of factors on the currency markets. In this study, both qualitative and quantitative methodologies are combined to collect data from Currency markets in Afghanistan including exchange markets, websites and social media. The problems mentioned by the money/currency market concerned people in are: sophisticated regulations, lack of attention to their problems and rights, the high amount of tax on exchangers and for licensing, Lack of Security for traders, exchangers and their assets. At the end some recommendations are proposed as solutions.

This paper studies the situation of currency markets as dependent variable to analyze the most important factors affecting the Afghanistan currency markets as independent variables. The objectives are finding out solutions for the problems and identifying the effects of factors on the currency markets. In this study, both qualitative and quantitative methodologies are combined to collect data from Currency markets in Afghanistan including exchange markets, websites and social media. The problems mentioned by the money/currency market concerned people in are: sophisticated regulations, lack of attention to their problems and rights, the high amount of tax on exchangers and for licensing, Lack of Security for traders, exchangers and their assets. At the end some recommendations are proposed as solutions. [ABSTRACT FROM AUTHOR]

With the increase in high-dimensional data, researchers pay more attention to dimensionality reduction techniques because there are many noisy, redundant and irrelevant features in high-dimensional data. The existence of noisy features leads to decrease performance when analyzing high-dimensional data. Also, unsupervised dimensionality reduction techniques are widely used due to the lack of available labels. Feature clustering is an unsupervised dimensionality reduction technique to partition features into clusters in which features are strongly related. In addition, the Pearson correlation coefficient is widely used as a similarity tool for feature clustering. However, the Pearson correlation coefficient is easily influenced by outliers and noises, thus leading to misleading results. This paper focuses on the influence of dissimilarity measures on the clustering of noisy features. Heavy-tailed distributions are used for modeling data with outliers and noises. Therefore, we introduce a new dissimilarity measure based on a new dependence coefficient of heavy-tailed distributions. The performance of feature clustering using the proposed dissimilarity is evaluated using ARI and internal criteria on artificial and real currency market datasets. Experiment results have demonstrated the effectiveness of the proposed feature clustering method. [ABSTRACT FROM AUTHOR]

The aim of the work is to improve the system of indicators to assess the economic security of the state in the foreign exchange market and ways to develop mechanisms of its regulation. Methodology. The study is based on a statistical evaluation of currency security indicators in the period 2008-2021, which allowed to establish that: first, the ratio of loans in foreign currency to total gross loans is a clear indicator of currency crises, when the value of the indicator increases to 60%, while in the pre-crisis period it is almost two times lower; secondly, the dollarization of the money supply changed in the range of 25%-33%, that is, the range of variation is insignificant, but in the post-crisis period, its level drops below 30%; thirdly, the level of dollarization of GDP, which is almost two times lower than the level of dollarization of the money supply, is characterized by greater variability and tends to increase in the crisis period and tends to decline in the post-crisis recovery period. The results of the work include a systematization of approaches to the interpretation of currency security and the factors that determine it. According to the narrow approach, currency security is reduced to the state of exchange rate, ensuring the stability of the national currency. Foreign exchange security in a broad sense also implies the ability to automatically set the balance of payments, sufficiency of official foreign exchange reserves, ensuring a stable inflow of foreign exchange into the domestic market with a high export potential and investment attractiveness of the country. Statistical evaluation of currency security indicators in the period 2008-2021 allowed to establish the peculiarities of their interrelation with the signs of currency crises. Proposals aimed at strengthening economic security in the foreign exchange market were substantiated. The practical implication is to improve the methodological recommendations for a comprehensive assessment of the level of currency security of the state based on supplementing the current system of six indicators with two additional indicators – the difference between interest rates on deposits in U.S. dollars and in hryvnias, the level of dollarization of the gross domestic product. The advantage of the first is less informational asymmetry compared to the difference between the forward and official hryvnia exchange rates, the advantage of the second is the demonstration of how much of the gross domestic product is served by the money supply in foreign currency. It is advisable to strengthen economic security in the foreign exchange market through the coordinated implementation of monetary, currency, fiscal, structural and investment policies, soft dedollarization, the use of financial derivatives and international lending. Value/originality. The proposed mechanisms of currency market regulation in the system of national economic security are based on the separation of narrow and broad approaches to the interpretation of currency security of the state, as well as on the clarification of conditions for the use of currency liberalization tools in the system of formation of a full-fledged competitive currency market and deregulation of currency control.

This article examines the impact of the COVID-19 pandemic on the accuracy of forecasts for three currency pairs before and after its outbreak based on neural networks (ELM, MLP and LSTM) in terms of three factors: the forecast horizon, hyper parameterisation and network type. [ABSTRACT FROM AUTHOR]

The widespread integration and growing systemic dependence among currency, stock, and commodity markets render these markets often very vulnerable to shocks and at risk of collapse at the same time. As a result, these trends threaten the sustainability of the entire financial system. In this study, we aim to explore the spillovers and nonlinear dependencies between the seven major foreign exchange rates, crude oil and gold prices, a global stock price index, and oil and stock implied volatility indices as proxy variables for global risk factors by employing a directional spillover network approach. We also use a multi-scale decomposition method and nonlinear causality test between these variables to capture multi-level relationships at short and long horizons. The major findings are summarized as follows. First, from the multi-scale decomposition analysis, we identify that Granger causality test results and the direction and strength of return spillovers change with the level of decomposition. Second, the results of nonlinear causality tests show variation in both the significance and direction of Granger causality relationships between the decomposed currency and other series at different timescales, especially for the decomposed oil, gold, and OVX series. Third, the measured directional spillover indices identify the Euro–Dollar exchange rate as the largest contributor of connectedness to the other series. [ABSTRACT FROM AUTHOR]

Copyright of Strategic Universe Journal / Univers Strategic is the property of Dimitrie Cantemir Christian University, Institute for Security Studies and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.)

We propose an optimal currency hedging strategy for global equity investors using currency value, carry, and momentum to proxy for expected currency returns. A benchmark risk constraint ensures the overlay closely mimics a fully hedged portfolio. We compare this with naïve and alternative hedges in a demanding out-of-sample test, with transaction and rebalancing costs and margin requirements. Other hedging methods generally reduce risk but at a cost. Some tend to short currencies with high returns and all incur substantial costs with frictions, mostly margin requirements and equity rebalancing costs. The proposed strategy uses predictable returns to reduce this cost. It produces a statistically significant 17% gain in Sharpe ratio and an annualized Jensen-α of 0.93% versus a fully hedged benchmark. Notably, most of the implementation costs of the strategy would be incurred by the benchmark anyway. This reduces its marginal cost and highlights a specific synergy of integrating hedging with speculation. This paper was accepted by Gustavo Manso, finance. [ABSTRACT FROM AUTHOR]

Objective: The article aims to present the importance of swap transactions in the evolution of the Polish currency market and the OTC interest rate derivatives market. Research Design & Methods: The theoretical considerations in the article were based on a critical analysis of the literature on the subject. In turn, the empirical part of this article was developed using numerical parameters characterizing the studied phenomenon. Findings: It cannot be unequivocally confirmed that swaps, due to their universality and design, are the most frequently used instrument of the Polish currency market and the OTC interest rate derivatives market. This is because, although, on the currency market, the main share in transactions was achieved by currency swaps, in the case of the OTC interest rate market, interest rate swap (IRS) transactions no longer record the largest share. Contribution & Value Added: The issue of swap contracts, according to the authors of the thesis, is the subject of limited interest in the Polish research literature, and this article was to be a response to the need to systematize knowledge about these instruments and a synthetic presentation of their development.

The widespread integration and growing systemic dependence among currency, stock, and commodity markets render these markets often very vulnerable to shocks and at risk of collapse at the same time. As a result, these trends threaten the sustainability of the entire financial system. In this study, we aim to explore the spillovers and nonlinear dependencies between the seven major foreign exchange rates, crude oil and gold prices, a global stock price index, and oil and stock implied volatility indices as proxy variables for global risk factors by employing a directional spillover network approach. We also use a multi-scale decomposition method and nonlinear causality test between these variables to capture multi-level relationships at short and long horizons. The major findings are summarized as follows. First, from the multi-scale decomposition analysis, we identify that Granger causality test results and the direction and strength of return spillovers change with the level of decomposition. Second, the results of nonlinear causality tests show variation in both the significance and direction of Granger causality relationships between the decomposed currency and other series at different timescales, especially for the decomposed oil, gold, and OVX series. Third, the measured directional spillover indices identify the Euro–Dollar exchange rate as the largest contributor of connectedness to the other series.

Copyright of Al Bashaer Economic Journal is the property of Al Bashaer Economic Journal and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.)

The research presented in this article is dedicated to analyzing the acceptability of traditional techniques of statistical management decision-making in conditions of stochastic chaos. A corresponding example would be asset management at electronic capital markets. This formulation of the problem is typical for a large number of applications in which the managed object interacts with an unstable immersion environment. In particular, this issue arises in problems of managing gas-dynamic and hydrodynamic turbulent flows. We highlight the features of observation series of the managed object’s state immersed in an unstable interaction environment. The fundamental difference between observation series of chaotic processes and probabilistic descriptions of traditional models is demonstrated. We also present an additive observation model with a chaotic system component and non-stationary noise which provides the most adequate characterization of the original observation series. Furthermore, we suggest a method for numerically analyzing the efficiency of conventional statistical solutions in the conditions of stochastic chaos. Based on numerical experiments, we establish that techniques of optimal statistical synthesis do not allow for making effective management decisions in the conditions of stochastic chaos. Finally, we propose several versions of compositional algorithms focused on the adaptation of statistical techniques to the non-deterministic conditions caused by the specifics of chaotic processes.

The authors compare the factors determining the scale of international world currencies transactions as saving means and means of payment. The change in the role of the US dollar, euro, pound sterling, Japanese Yen and Chinese Yuan in the private sector over the past few decades are also juxtaposed with the previous factors. The conclusion is made about an incomplete correlation of modern conditions determining the international demand for a common European and Chinese national currency, and the demand for the volumes of their use in the world. On the basis of the comparative analysis of the volumes of world currencies transactions in different spheres, the authors demonstrate the top priority of the means of payment function in the process of calling forth the demand for these means on the part of non-residents using them as payment and saving means. It is proved that the main reasons of maintaining the dominant role of the US dollar as a world currency in the private sector are the leading position of the American economy concerning its contribution into the creation of the world product, support of a relatively high level of the development of the national financial market of the USA, long-term period of the American currency being world unit of account, low operation costs concerning the operations with them and also the inertia character of private actors of the world economy. It is shown that in a short-term period in case of a further growth of the economic power of the euro zone and China, provision of a complete convertibility of the Yuan and removal of the restrictions for non-residents in the Chinese financial market and also in case of maintaining a stable economic situation in the USA, the function of the world money will be carried out mainly by the American dollar.

The aim of the article is to evaluate the state of legal institutionalization of the OTC foreign exchange market in Ukraine, as well as its comparison with the foreign experience of legal regulation of OTC currency relations in Ukraine and EU countries. The subject of the study is the legal and administrative framework for the functioning of the OTC currency market (Forex) in Ukraine and in the EU countries. The methodology of the study consists of: historical and legal method, which allowed determining the preconditions for the emergence of OTC markets in Ukraine and the world and the principles of their functioning; system and structural method, which was used to analyse the world monetary system as an institutional and functional form of organization of international monetary and financial relations; a formal legal method that allowed us to comprehensively investigate a condition of regulation of the functioning of Forex in Ukraine, to identify its shortcomings, gaps, contradictions, and miscalculations, as well as to develop recommendations aimed at their elimination; a comparative and legal method that provided a deeper study of the specifics of the legal regulation of the functioning of Forex in the EU and to define ways of implementing a positive foreign experience in the national legal system. The results of the conducted legal study have shown that in Ukraine, the Forex market operates in legal vacuum conditions that negatively affect either the protection of the rights of forex clients or the amount of tax revenues to the state budget. The most acceptable way to eliminate this shortcoming is to implement the main principles and requirements of the MiFID in the national legislation. Practical impact. The research of experience of EU countries regarding the legal regulation of Forex companies activity and also regarding the creation of legal bases for implementation by the specified companies of self-regulation – it is a necessary condition of further improvement of the legal regulation of the OTC currency relations in Ukraine. Correlation/Authenticity. The mentioned directions of improvement of domestic legislation in the field of the functioning of the OTC currency market (Forex) are the most promising at the modern stage of development of the domestic economy. It is so because they are aimed at ensuring stability, reliability, and efficiency of the financial system, strengthening the guarantees of the rights of private investors, and increasing tax revenues from the activities of forex companies.

Forex is the largest financial market in the world. Estimated daily turnover in April 2013 was approximately $ 5.3 trillion. Forex is distinguished by its features in comparison with other markets and attracts millions of investors around the world. At the same time, it is a very difficult market, and before investing, it is good to get as much knowledge as possible. In this article I will focus on the essence of Forex and will answer the question of how you can prevent yourself from losing money effectively managing the Forex market risk.

In this paper, we consider the task of the analysis, modeling, and application of dependencies between asset quotes at various capital markets. As an example, we study the dependency between financial instrument observation series in the currency and stock markets. Our work intends to give a theoretical basis to asset management strategies that estimate an asset’s price via regression, taking into account its correlated assets in various markets. Furthermore, we provide a way to increase the estimate quality using an evolutionary algorithm.

Copyright of Research Papers of the Wroclaw University of Economics / Prace Naukowe Uniwersytetu Ekonomicznego we Wroclawiu is the property of Uniwersytet Ekonomiczny we Wroclawiu and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.)

The presented article fits in with the subject of the currency market. Price volatility and volume seem to allow to accurately assess the situation on the market, therefore the analysis of the type and strength of dependence, occurring between them is important from the point of view of all participants of the forex market transactions. The aim of the study is to verify the hypothesis that there is a strong monotone dependence between the level of exchange rate volatility and the tick volume of a given currency pair, in which euro is the base or quoted currency. Due to the fact that not all time series accepted for the study have a normal distribution, the Spearman rank correlation coefficient was applied to determine the strength of the compound. The research was carried out on the basis of data from EUR/USD, EUR/JPY, EUR/GBP, EUR/CHF and EUR/AUD currency pairs at intervals of one hour, four hours, daily, weekly and monthly in the years 2016-2018. Based on the research, its hypothesis was rejected. At the same time, it was found that the relationship between volatility and tick volume exists in most cases (88% of all) and in more than half of the cases (60% of all) is at least moderate. The value of the correlation coefficient turned out to be positive in 96% of all examined cases. [ABSTRACT FROM AUTHOR]

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Graphical abstract Abstract We examine the lead-lag relation between spot and futures prices in the leading emerging foreign exchange markets from September 2008 to April 2018. Using the daily data for Indian rupee, Brazilian real and South African rand against the US dollar, we find the evidence of price discovery in these currency markets. The spot market consistently leads the futures market for the Indian rupee and South African rand, however, the futures market leads the spot market for Brazilian real during the sample period. Our results further show that the cost-of-carry error correction model is the best forecasting model and a trading strategy based on this model outperforms the market even after allowing for transaction costs. [ABSTRACT FROM AUTHOR]

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Clustering is the primary technique used to divide data into groups based on unknown models inherent to the data. Regulation of the entire clustering method is complicated and submitted to several uncertainties. Similarity measures one of the first decisions to be made to establish how the similarity between two objects must be measured. This research focuses on the influence of similarity measures in the hierarchical clustering to uncover patterns in heavy-tailed data. Stable distributions are the most important subclass of heavy-tailed distributions. A well-known measure of similarity is defined based on correlation of two objects. However, this measure cannot be used for heavy-tailed data. We will illustrate how to perform a hierarchical cluster analysis in heavy-tailed data by extending the similarity measure based on the correlation. We introduce a new similarity measure based on covariation coefficient. We evaluate the performance of covariation similarity and compare it to others using external and internal criteria. [ABSTRACT FROM AUTHOR]