arXiv · arXiv q-fin · 2021
This paper presents a detailed analysis of how liquid money market instruments -- sterling bills of exchange -- were produced during the first globalisation. We rely on a unique data set that reports systematic information on all 23,493 bills re-discounted by the Bank of England in the year 1906. Using descriptive statistics and network analysis, we reconstruct the complete network of linkages between agents involved…
Olivier Accominotti, Delio Lucena-Piquero, Stefano Ugolini
arXiv · arXiv q-fin · 2020
Foreign exchange is the largest financial market in the world, and it is also one of the most volatile markets. Technical analysis plays an important role in the forex market and trading algorithms are designed utilizing machine learning techniques. Most literature used historical price information and technical indicators for training. However, the noisy nature of the market affects the consistency and profitability…
Zezheng Zhang, Matloob Khushi
arXiv · arXiv q-fin · 2020
This chapter presents a history of international trade finance - the oldest domain of international finance - from its emergence in the Middle Ages up to today. We describe how the structure and governance of the global trade finance market changed over time and how trade credit instruments evolved. Trade finance products initially consisted of idiosyncratic assets issued by local merchants and bankers. The financing…
Olivier Accominotti, Stefano Ugolini
arXiv · arXiv q-fin · 2019
Multifractal detrended cross-correlation methodology is described and applied to Foreign exchange (Forex) market time series. Fluctuations of high frequency exchange rates of eight major world currencies over 2010-2018 period are used to study cross-correlations. The study is motivated by fundamental questions in complex systems' response to significant environmental changes and by potential applications in investmen…
Robert Gębarowski, Paweł Oświęcimka, Marcin Wątorek, Stanisław Drożdż
arXiv · arXiv q-fin · 2018
We present a new methodology of computing incremental contribution for performance ratios for portfolio like Sharpe, Treynor, Calmar or Sterling ratios. Using Euler's homogeneous function theorem, we are able to decompose these performance ratios as a linear combination of individual modified performance ratios. This allows understanding the drivers of these performance ratios as well as deriving a condition for a ne…
Eric Benhamou, Beatrice Guez
arXiv · arXiv q-fin · 2010
Given the return series for a set of instruments, a \emph{trading strategy} is a switching function that transfers wealth from one instrument to another at specified times. We present efficient algorithms for constructing (ex-post) trading strategies that are optimal with respect to the total return, the Sterling ratio and the Sharpe ratio. Such ex-post optimal strategies are useful analysis tools. They can be used t…
Victor Boyarshinov, Malik Magdon-Ismail