Characteristic market behaviors caused by intervention in a foreign exchange market
Takayuki Mizuno, Yukiko Umeno Saito, Tsutomu Watanabe, Hideki Takayasu
Abstract
In foreign exchange markets monotonic rate changes can be observed in time scale of order of an hour on the days that governmental interventions took place. We estimate the starting time of an intervention using this characteristic behavior of the exchange rates. We find that big amount of interventions can shift the averaged rate about 1 yen per 1 dollar in an hour, and the rate change distribution becomes asymmetric for a few hours.
Create a lesson
Related papers
Multi-fidelity Monte Carlo estimation of floor response spectra under combined seismic and structural parameter uncertainties
Nils Baillie, Baptiste Kerleguer, Cyril Feau et al.
Parameter inference from a non-stationary unknown process using statistical feature-based slow feature analysis
Kieran S. Owens, Masako Tamaki, Ben D. Fulcher
A Probability Model for Pentagonal Prism Dice Rolls
Paul R. Hurst, J. Naleo Hyde
Geometry-native machine learning reconstruction of DSMC moment fields with support monitoring
Ehsan Roohi
Multivariate amplitude analysis of the cascade particle decays based on the Nearest Neighbors fitting
I. V. Yeletskikh, A. O. Vasyukov
The geometry of uncertainty decomposition in profile-likelihood fits
Rafael Coelho Lopes de Sá