Title:

A firm’s perspective on econophysics-based currency risk analysis

Title in english:

Perspektywa firmy w ekonofizycznej analizie ryzyka walutowego

Creator:

Fiedor, Paweł ; Hołda, Artur

Subject and Keywords:

risk ; exchange rate ; predictability ; econophysics ; ryzyko ; kursy walutowe ; przewidywalność ; ekonofizyka

Description:

Nauki o Finansach = Financial Sciences, 2014, Nr 4 (21), s. 92-107

Abstrakt:

In this article the authors presents an approach to quantifying currency risk based on the methodology of econophysics. This article continues the authors’ study into the currency risk, this time simplifying it for the purpose of rendering it useful for companies without technical abilities. A method of analysing the dependencies between currencies based on correlations is introduced to facilitate the analysis of currency risk involved in being exposed to one or more foreign currencies. Also a model estimating a risk-free horizon is introduced and tested against price formation models and empirical data from FX markets

Publisher:

Wydawnictwo Uniwersytetu Ekonomicznego we Wrocławiu

Place of publication:

Wrocław

Date:

2014

Resource Type:

artykuł

Format:

application/pdf

Resource Identifier:

doi:10.15611/nof.2014.4.07

Language:

eng

Relation:

Nauki o Finansach = Financial Sciences, 2014, Nr 4 (21)

Rights:

Wszystkie prawa zastrzeżone (Copyright)

Access Rights:

Dla wszystkich w zakresie dozwolonego użytku

Location:

Uniwersytet Ekonomiczny we Wrocławiu