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Sample records for eurodollars

  1. Comparison of field theory models of interest rates with market data.

    PubMed

    Baaquie, Belal E; Srikant, Marakani

    2004-03-01

    We calibrate and test various variants of field theory models of the interest rate with data from Eurodollar futures. Models based on psychological factors are seen to provide the best fit to the market. We make a model independent determination of the volatility function of the forward rates from market data.

  2. Comparison of field theory models of interest rates with market data

    NASA Astrophysics Data System (ADS)

    Baaquie, Belal E.; Srikant, Marakani

    2004-03-01

    We calibrate and test various variants of field theory models of the interest rate with data from Eurodollar futures. Models based on psychological factors are seen to provide the best fit to the market. We make a model independent determination of the volatility function of the forward rates from market data.

  3. A Model for Nonstationary Market Dynamics with Nontrivial Dynamical Scaling

    NASA Astrophysics Data System (ADS)

    Liu, Min; Bassler, Kevin E.

    2008-03-01

    In a recent empirical analysis of the Euro/Dollar exchange rate [Bassler, et al., PNAS 104, 17287 (2007)] it was found that during certain periods of the day the market returns scale with Hurst exponents H that are significantly different from 1/2. In some of these periods it is less than 1/2, while in others it is greater than 1/2. In this talk we will propose a possible origin for this behavior and other stylized market facts, including short time negative autocorrelations of returns, in terms of a nonstationary compound Poisson process with a time-dependent intensity rate function that results from a changing bid-ask spread in the microscopic market. The model correctly describes the dynamic scaling behavior of a simple reaction-diffusion model of a limit-order book. That model, like the Euro/Dollar exchange rate, has nonstationary return increments and a Hurst exponent H not equal to 1/2.

  4. Correlation filtering in financial time series (Invited Paper)

    NASA Astrophysics Data System (ADS)

    Aste, T.; Di Matteo, Tiziana; Tumminello, M.; Mantegna, R. N.

    2005-05-01

    We apply a method to filter relevant information from the correlation coefficient matrix by extracting a network of relevant interactions. This method succeeds to generate networks with the same hierarchical structure of the Minimum Spanning Tree but containing a larger amount of links resulting in a richer network topology allowing loops and cliques. In Tumminello et al.,1 we have shown that this method, applied to a financial portfolio of 100 stocks in the USA equity markets, is pretty efficient in filtering relevant information about the clustering of the system and its hierarchical structure both on the whole system and within each cluster. In particular, we have found that triangular loops and 4 element cliques have important and significant relations with the market structure and properties. Here we apply this filtering procedure to the analysis of correlation in two different kind of interest rate time series (16 Eurodollars and 34 US interest rates).

  5. Highly flexible distributions to fit multiple frequency financial returns

    NASA Astrophysics Data System (ADS)

    BenSaïda, Ahmed; Slim, Skander

    2016-01-01

    Financial data are usually studied via low flexible distributions, independently of the frequency of the data, due to their simplicity and analytical tractability. In this paper we analyze two highly flexible five-parameter distributions into fitting financial returns, these are the skewed generalized t (SGT) and the generalized hyperbolic (GH). Applications carried on two exchange rates (Euro-Dollar and Dollar-Yen), and two indexes (S&P 500 and Nikkei 225) over four frequencies: weekly, daily, 30-min and 5-min, confirm the superiority of the SGT and GH in approximating the distribution of a given data at a remarkable precision. Moreover, as we move from higher to lower frequency, the distribution's overall shape does indeed change radically, and the estimated parameters refute the tendency to normality, which calls into question the aggregational Gaussianity's stylized fact.

  6. Financial policy in a small open oil-exporting developing country: The case of Oman

    SciTech Connect

    Kalmoor, M.A.

    1988-01-01

    This study investigates the role of financial policy in small open oil-exporting countries, taking Oman as a case study. The study focuses on the interest rate, inflationary financing, and the optimal exchange-rate peg question. Simulation of the macroeconomic model of the Omani economy showed that had the interest rate ceiling policy been removed, the country would have witnessed higher growth rates during the period in which the Eurodollar deposit rates were higher than the ceiling rate on local currency time deposits. The simulation results showed that credit-driven inflationary financing was self-defeating to the extent that the trade balance deteriorated by an amount more-or-less equivalent to the increase in government credit. Finally, an attempt was made to identify the optional exchange-rate peg for the country. The study compared three pegs: the U.S. dollar, the SDR, and an import-weighted basket. It found the SDR to be the most preferable peg. It provided the greatest stability in imported and domestic inflation.

  7. Dynamics of real financial markets: A reply to Frank’s comment

    NASA Astrophysics Data System (ADS)

    Bassler, Kevin E.; Gunaratne, Gemunu H.; McCauley, Joseph L.

    2008-05-01

    This reply addresses the assertion in the comment of T.D. Frank [T.D. Frank, Physica A 387 (2008) 773] on our paper [K.E. Bassler, G.H. Gunaratne, J.L. McCauley, Physica A 369 (2006) 343] that the approach to modeling financial markets that we propose is unrealistic. In our paper, we considered variable diffusion processes that have a diffusion coefficient that varies with both position (return in finance) and time, and used them to show that measuring a Hurst exponent H≠1/2 in a time series does not necessarily imply correlations between increments. We also proposed that such a variable diffusion process is the underlying stochastic process governing the dynamics of financial markets. Frank asserts that this is unrealistic because variable diffusion processes with H≠1/2 are driven with a “force” that varies in time as a power law. He claims, instead, that markets obey nonextensive thermostatistics. We discuss evidence from a recently published empirical study of the Euro-Dollar exchange rate [K.E. Bassler, J.L. McCauley, G.H. Gunaratne, PNAS 104 (2007) 17287] that shows that the market can be described with a variable diffusion process, but is inconsistent with nonextensive thermostatistics. This evidence demonstrates that our modeling approach is realistic and accurate.