Search results for: H. Andriamboavonjy

2 Macroeconomic Reevaluation of CNY/USD Exchange Rate: Quantitative Impact on EUR/USD Exchange Rate

Authors: R. Henry, H. Andriamboavonjy, J. B. Paulin, S. Drahy, R. Gourichon

Abstract:

During past decade, Chinese monetary policy has been to maintain stability of exchange rate CNY/USD by creating parity between the two currencies. This policy, against market equilibrium, impacts the exchange rate in having low Yuan currency, and keeping attractiveness of Chinese industries. Using macroeconomic and statistic approach, the impact of such policy onto CNY/USD exchange rate is quantitatively determined. It is also pointed out how Chinese banks respect Basel III ratios, in particular the foreign exchange ratio. The main analysis is focusing on how Chinese banks will respect these ratios in the future.

Keywords: macroeconomics models, yuan floating exchange rate, basel iii, china banking system

Procedia PDF Downloads 536

1 Frequent-Pattern Tree Algorithm Application to S&P and Equity Indexes

Authors: E. Younsi, H. Andriamboavonjy, A. David, S. Dokou, B. Lemrabet

Abstract:

Software and time optimization are very important factors in financial markets, which are competitive fields, and emergence of new computer tools further stresses the challenge. In this context, any improvement of technical indicators which generate a buy or sell signal is a major issue. Thus, many tools have been created to make them more effective. This worry about efficiency has been leading in present paper to seek best (and most innovative) way giving largest improvement in these indicators. The approach consists in attaching a signature to frequent market configurations by application of frequent patterns extraction method which is here most appropriate to optimize investment strategies. The goal of proposed trading algorithm is to find most accurate signatures using back testing procedure applied to technical indicators for improving their performance. The problem is then to determine the signatures which, combined with an indicator, outperform this indicator alone. To do this, the FP-Tree algorithm has been preferred, as it appears to be the most efficient algorithm to perform this task.

Keywords: quantitative analysis, back-testing, computational models, apriori algorithm, pattern recognition, data mining, FP-tree

Procedia PDF Downloads 334