Foreign Exchange

最新推荐文章于 2017-02-02 11:41:47 发布
最新推荐文章于 2017-02-02 11:41:47 发布
阅读量894 收藏
点赞数
分类专栏： Finance 文章标签： exchange
版权声明：本文为博主原创文章，遵循 CC 4.0 BY-SA 版权协议，转载请附上原文出处链接和本声明。
本文链接：https://blog.csdn.net/peachpi/article/details/6086275
版权

一个同事的观点：

一般只看Trend。 就是关注Onshore和Offshore的Forward Curve。 另外汇率和宏观经济关系很大， 政策层面也需要关注

另外还有就是汇率的波动层面， 这些可以从比较Liquid 的期权价格中发现。

peachpi
关注
  • 0
    点赞
  • 踩
  • 0
    收藏
    觉得还不错? 一键收藏
  • 0
    评论
专栏目录
10763:Foreign Exchange
Jingwang Li
04-21 271
Foreign Exchangeversion 1(100ms):#include<cstdio> #include<map> #include<set> using namespace std; int n; int main(){ while(scanf("%d",&n) && n){ map<int,i...
10763 - Foreign Exchange
你的你的都是你的的博客
04-13 384
紫书上习题5-4； 这道题用数组正好，一个 x 对应一个 y ，然后反过来判断一个 y 是否对应一个 x ，如果全部对应，则可以交换，如果有一个不对应，则不能交换； #include #include using namespace std; #define maxn 500100 int S[maxn]; void init() { for(int i=0;i<maxn;i++){
pdf foreign exchange
08-11
### 外汇市场中的价格发现：现货与期货竞争分析 #### 概述 本文深入探讨了外汇现货市场与期货市场在价格发现方面的竞争关系，特别是在宏观经济公告发布时的价格动态。研究聚焦于欧元对美元（EUR-USD）和日元对美元...
国际经济学课件 L14Exchange Rates and the Foreign Exchange Market.pdf
07-13
L14Exchange Rates and the Foreign Exchange Market
foreign-exchange.rar_Foreign_exchange
07-14
"foreign-exchange.rar_Foreign_exchange" 提供的便是一个基于GUI（图形用户界面）的外汇汇率计算程序，利用MATLAB编程语言实现。MATLAB，全称“Matrix Laboratory”，是一种强大的数学计算软件，广泛应用于工程、...
South Africa / U.S. Foreign Exchange Rate 南非/美国外汇汇率-数据集
03-12
2. **south-africa--u.s.-foreign-exchange-rate_metadata.json**：此文件包含有关DEXSFUS.csv的元数据，可能包括数据的描述、时间范围、发布机构、数据更新频率、数据定义、单位、计算方法等。 通过分析这个数据集...
FXStreet - The Foreign Exchange Market-crx插件
04-02
FXStreet - The Foreign Exchange Market是一款专门针对外汇交易者设计的Chrome浏览器插件。这款插件由FXStreet提供，FXStreet是一家知名的外汇市场信息平台，为全球交易者提供全面的外汇市场资讯、分析以及数据服务...
Foreign Exchange Option Pricing.pdf
03-10
Foreign Exchange Option Pricing 国外经典的外汇期权定价书籍
【UVa】10763 – Foreign Exchange
Blog
02-28 644
Problem hereProblemYour non-profit organization (iCORE – international Confederation of Revolver Enthusiasts) coordinates a very successful foreign student exchange program. Over the last few years, de
UVA10763:Foreign Exchange(交换学生)
xqacmer
02-02 741
作者：xq的acm之路题目链接：https://uva.onlinejudge.org/index.php?option=com_onlinejudge&Itemid=8&page=show_problem&problem=1704题目大意：有n（1<=n<=500000）个学生想交换到其他学校学习。A到B学校的前提是找到一个B到A的搭档。n个学生两两两交换就ok，A,B用两个整数表示思路：（A,B
交换学生(Foreign Exchange)
梦空间
02-18 1419
Problem E Foreign Exchange Input: standard input Output: standard output Time Limit: 1 second Your non-profit organization (iCORE - international Confederation of Revolver Enthusiasts) coord
证券基础知识——证券标识代码
热门推荐
大头客的专栏
05-20 1万+
证券标识代码，symbol（ticker）, CUSIP, ISIN, SEDOL, RIC, WPK, WKN, bloomberg code, MIC, Valor, Bloomberg open symbology (BBGID)
交易型开放式指数基金（ETF）与上市开放式基金（LOF）的具体区别
大头客的专栏
03-31 7388
交易型开放式指数基金（ETF），上市开放式基金（LOF），封闭式基金，开放式基金
VC，PE和Hedge Fund
大头客的专栏
06-03 7101
最近，经常听到说某某VC，某某PE等等，那这些机构之间到底有什么区别呢？ 主要可以从进入阶段，与被投资企业关系，涉及金额，退出机制等方面来比较。   首先，来看看定义： VC，Venture Capital，中文叫风险投资，创业投资   What Does Venture Capital Mean? Money provided by investors to startup fir
OMS和EMS的区别
大头客的专栏
12-02 6358
非常不错的文章 Feature: EMS versus OMS - convergence or Divergence?http://www.automatedtrader.net/articles/marketplace/22/feature-ems-versus-oms-_-convergence-or-divergence Buy-Side OMSs Face the EMS Threat http://www.financetech.com/featured/showArticle
Daily foreign exchange rates (spot rates) can be obtained from the Federal Reserve Bank in St Louis (FRED). The data are the noon buying rates in New York City certified by the Federal Reserve Bank of New York. Consider the exchange rates between the U.S. dollar and the Euro from January 4, 1999 to March 8, 2013. See the file d-exuseu.txt. (a) Compute the daily log return of the exchange rate. (b) Compute the sample mean, standard deviation, skewness, excess kurtosis, minimum, and maximum of the log returns of the exchange rate. (c) Obtain a density plot of the daily long returns of Dollar-Euro exchange rate. (d) Test H0 : µ = 0 versus Ha : µ ̸= 0, where µ denotes the mean of the daily log return of Dollar-Euro exchange rate.
最新发布
05-26
(a) The daily log return of the exchange rate can be calculated using the following formula: log return = ln(price[t]) - ln(price[t-1]) where price[t] represents the exchange rate at time t and price[t-1] represents the exchange rate at time t-1. Using the data in the file d-exuseu.txt, we can calculate the daily log returns as follows (assuming the data is stored in a variable called "exchange_rate"): ```python import numpy as np log_returns = np.log(exchange_rate[1:]) - np.log(exchange_rate[:-1]) ``` The first element of "exchange_rate" is excluded from the calculation because there is no previous price to compare it to. (b) The sample mean, standard deviation, skewness, excess kurtosis, minimum, and maximum of the log returns can be calculated using the following code: ```python mean = np.mean(log_returns) std_dev = np.std(log_returns) skewness = stats.skew(log_returns) kurtosis = stats.kurtosis(log_returns, fisher=False) minimum = np.min(log_returns) maximum = np.max(log_returns) print("Sample mean:", mean) print("Standard deviation:", std_dev) print("Skewness:", skewness) print("Excess kurtosis:", kurtosis - 3) # convert to excess kurtosis print("Minimum:", minimum) print("Maximum:", maximum) ``` This code requires the "scipy.stats" module to be imported at the beginning of the script. The output will show the sample mean, standard deviation, skewness, excess kurtosis, minimum, and maximum of the log returns. (c) To obtain a density plot of the daily log returns, we can use the following code: ```python import matplotlib.pyplot as plt plt.hist(log_returns, bins=50, density=True) plt.xlabel("Daily log return") plt.ylabel("Density") plt.show() ``` This code will create a histogram of the log returns with 50 bins and normalize it to create a density plot. The output will show the density plot of the log returns. (d) To test the hypothesis H0 : µ = 0 versus Ha : µ ̸= 0, where µ denotes the mean of the daily log return of Dollar-Euro exchange rate, we can use a t-test. The null hypothesis states that the mean log return is equal to zero, while the alternative hypothesis states that the mean log return is not equal to zero. ```python from scipy.stats import ttest_1samp t_stat, p_value = ttest_1samp(log_returns, 0) print("t-statistic:", t_stat) print("p-value:", p_value) ``` This code uses the "ttest_1samp" function from the "scipy.stats" module to calculate the t-statistic and the p-value. The output will show the t-statistic and the p-value of the test. If the p-value is less than the significance level (e.g., 0.05), we can reject the null hypothesis and conclude that the mean log return is significantly different from zero.
评论
添加红包

请填写红包祝福语或标题

个

红包个数最小为10个

元

红包金额最低5元

当前余额3.43元 前往充值 >
需支付：10.00元
成就一亿技术人!
领取后你会自动成为博主和红包主的粉丝 规则
hope_wisdom
发出的红包
实付元
使用余额支付
点击重新获取
扫码支付
钱包余额 0

抵扣说明：

1.余额是钱包充值的虚拟货币，按照1:1的比例进行支付金额的抵扣。
2.余额无法直接购买下载，可以购买VIP、付费专栏及课程。

余额充值