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Econometric Model for Intraday Trading on the Spot Foreign Exchange Market, Considering Heavy Tails and Volatility Clustering

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Econometric Model for Intraday Trading on the Spot Foreign Exchange Market, Considering Heavy Tails and Volatility Clustering Econometric Model for Intraday Trading on the Spot Foreign Exchange Market, Considering Heavy Tails and Volatility Clustering Zur Erlangung des akademischen Grades eines Doktors der Wirtschaftswissenschaften (Dr. rer. pol.) von der FakultÄatfÄurWirtschaftswissenschaften der UniversitÄatFridericiana zu Karlsruhe genehmigte DISSERTATION von Anna Serbinenko Tag der mÄundlichen PrÄufung:10.12.2009 Referent: Prof. Rachev Koreferent: Prof. Seese Karlsruhe December 16, 2009 2 3 Abstract Spot foreign exchange (forex) market is the most liquid and volatile of all the ¯nancial markets. It involves and e®ects any country in the world, re- flects governments' monetary policies and provides hedging opportunities for trading corporations. Modeling of foreign exchange rates and volatility is not yet as developed as modeling of other markets' behavior. Moreover, intra- day trading on forex is governed by other rules and implies other approaches than a long term exchange rate forecasts. The present research thoroughly analyzes every aspect of the spot intraday trading on the forex market - mechanisms, e±ciency, liquidity, volatility - as well as the existing models based on macro fundamentals or describing market microstructure. Among other results, it has been concluded that the spot forex market is e±cient in a weak form only, it is extremely liquid and is not e®ected by regional equity trading sessions or news announcements, but its volatility increases in the ¯rst and the last thirty minutes of corresponding regional trading sessions. Finally, a hybrid model based on microstructure approach, including addi- tional macro variables and data on two di®erent time frames was constructed. GARCH approach is used to reflect the volatility clustering, and alpha-stable distributions describe the heavy tails behavior. Tests showed that this new model outperforms the previously analyzed models for the case of intraday trading. 4 Introduction Financial markets play multiple role in the economic and ¯nancial life of all countries of the world. They reflect monetary policy of governments, provide funds for business and make capital gains (and losses) to private and institutional investors. To take advantage of ¯nancial markets, one needs to know their mechanisms, understand past performance and forecast future development. Intraday trading is de¯ned as short term trading, but it does not nec- essarily imply opening and closing position within the same day. Intraday trading is used by an important number of private traders and asset man- agers who speculate of the quotes changing over short period of time. In spite of the seemingly minor changes in quotes (actually the ¯fth digit after comma is already signi¯cant), leveraged investors can get important return on investment. The research departs from ¯nancial markets in general, using the totality of the available knowledge, and then narrows its analysis to foreign exchange market, and in particular the spot foreign exchange market. Foreign exchange (forex) market is today the most important by its turnover, the most liquid and probably the most volatile market of the world. Naturally, important is the need to model and forecast it. The main question is if the models already developed for the equity market, are applicable to forex. Can these models be applied "as is" or at least be adapted? What speci¯c factors need to be considered? The paper is split into four parts. The ¯rst part introduces the basics of ¯nancial markets in general and the foreign exchange market in particular: market participants, trading mechanisms and trade instructions. The second part goes into mode details analyzing various market characteristics, such as e±ciency, liquidity, volatility and trading costs. The third part of the research overviews the practically used approaches of the technical and fundamental analysis. Finally, the part IV analyzes and tests academically developed models and proposes an improved model for forex intraday trading. Financial markets are ¯rst of all their participants: people and institution 5 6 active on it. Financial markets are a tool for Central Banks for implementing their monetary policy. They provide a way of hedging risks for big multina- tional companies. They are an investment place for private and institutional investors. Providing access to ¯nancial markets is the core business for bro- kerage companies. As any domain of life, ¯nancial markets have its rules and mechanisms. The knowledge and respect of these rules is a sine qua non condition for any activity on the market. Mechanisms include legal limitations and reg- ulations such as government licences and brokerage agreements. Technical context puts its own boundaries on what is possible and what is impossible to perform. To make any operation on the market, technical details are needed. Trad- ing instructions specify the volume, the type and the price of a transaction. With computer and networking progress, a big part of trades are executed in more or less automated way, but human mediation is still used, especially in the case of technical issues. Medieval markets were completely non transparent, as one often did not know the prices on the other side of a mountain. With today's technologies, news announces in United States are incorporated in London and Hong Kong market quotes within less than ten seconds. What does a market participant or an external observer knows about the price formation, identity of traders or the market stability? This question is answered by the analysis of the market performance. Once anybody buys an asset, one of the most important questions is weather he will be able to resell it later. For most of ¯nancial assets, especially those quoted on main Exchanges, the liquidity is not an issue. Virtually any asset can be bought or sold within seconds during the trading sessions. Foreign Exchange market with its 24 hours trading, is considered to be the most liquid of all ¯nancial markets. Liquidity influences the attractiveness of an investment and the market e±ciency. The volatility of ¯nancial markets is a headache for corporate managers and the source of gain for speculators. Volatility of di®erent markets, di®er- ent sectors and in di®erent geographical regions cannot be the same. Is it constant? What are the interdependencies? Can volatility be modeled and forecast? As any other service, trading is associated with costs. The traditionally known costs are the bid-ask spread, commissions and negative interest rates applied to margin account. Indirect costs are numerous and case speci¯c. In spite of apparent low absolute value, when incorrectly taken into account, trading costs can make loss out of a pro¯table operation. Since more than one hundred years, two traditional approaches to market 7 analysis are the technical and the fundamental analysis. Fundamental anal- ysis is studying macroeconomic factors ("fundamentals") that may influence the asset price. To forecast the market, traders using fundamental analysis follow the latest news announcements to derive their expectations about the market. Technical analysis, on its turn, supposes that all the publicly available in- formation is already incorporated in the market price. The technical analysis is limited to analyzing the price charts, ¯nding particular behavior patterns in it and using this information, forecast the future development of the price pattern. Technical analysis techniques are numerous, individual, sometimes contradictory and delivering opposite results on the same market situation. In spite of that, some of technical analysis conclusions look amazing by their correctness and precision. It is important to tell that practical models of- ten lack of consistent foundation proper to academic approaches. They still constitute a part of the present research: to make the analysis of the market complete - as for an obvious reason we cannot neglect the everyday relatively successful practice of millions of traders. Forex is a speci¯c separate market, and speci¯c models are developed to describes its behavior. By de¯nition, there are no insiders or particularly informed traders on forex. The only exception are Central Banks or other institutions capable of influencing the whole market segment on their own. What are the speci¯c foreign exchange models and what are they based on? How far these models go and what is their modeling quality? Financial markets are not casinos. Their volatility reflects multitude of known and unknown factors. Appropriate models partially reflect the market behavior and help making decisions, but a correct deterministic model will probably never be found because it does not exist. For this reason, while making any ¯nancial operation, one should always keep in mind that these operations are risky, that the past performance will no way guarantee fu- ture pro¯ts and that one should never risk funds he cannot allow himself to lose. Any useful model should be forward looking instead of simply ¯t the coe±cients to the past data. To achieve optimal results in funds management, traders need to apply all the available knowledge. It is usually bene¯cial to follow several simple steps: 1. De¯ne goals of the operations on the market, such as capital gain or risk hedge. 2. Identify the target market and its sector, for example, industrial US stocks, Latin American mutual funds, majors foreign exchange. 8 3. Gather information known about the target market: regulations, trading conditions, characteristics of the market such as performance, transparency and volatility. 4. De¯ne its own position relative to the market: informed or unin- formed trader, speculator, long term investor. 5. Select an appropriate model and estimate its parameters, using the available data samples. 6. Forecast the market development using the estimated model and act accordingly. If the appropriate model chosen after the four ¯rst steps is that for the intraday forex trading, the present research is an attempt to develop a good one which can be used in practice. It describes the forex market in all its va- riety of aspects, carefully analyzing every assumption of each building block.
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