Indexation and Causation of Financial Markets

Tanokura, Yoko; Kitagawa, Genshiro

doi:10.1007/978-4-431-55276-5

Cited by 2 publications

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“…One of the approaches for finding factors causing a crisis is to analyze a temporal change of the estimates on the economic structure obtained from analysis of financial crisis dataset. Tanokura and Kitagawa [1] focused on sovereign CDSs for several areas as measurements of sovereign risk. They conducted generalized relative noise contribution analysis and detected the spillover effects of the European debt crisis.…”

Section: Introductionmentioning

confidence: 99%

Analysis of Exchange Rates and Gold Price Using Relative Noise Contribution

Shimazaki

Nakamura

Tanokura

2018

Stochastic Systems Theory and its Applications (SSS)

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We analyze the time series of exchange rates and gold price, USD/JPY, EUR/USD, USD/CHF, GBP/USD and XAU/USD, in the period before and after the bankruptcy of Lehman Brothers by using relative noise contribution. Relative noise contribution detects the influences among multiple time series. As a result, we found the exchange rates and gold price are basically driven by their own influence. However, when the affairs happened, they sometimes were driven by other rates or price. In addition, the reaction to the affairs is changed before and after the bankruptcy of Lehman Brothers. These may result in the difference of trader's ideas between before and after of the bankruptcy. This result implies that the framework has a potential to find some relationship among the markets and participant's behavior.

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Section: Introductionmentioning

confidence: 99%