Time evolutions of copulas and foreign exchange markets

I. Kupka; Jozef Kiselak; N. Ishimura; Y. Yoshizawa; Ledys Salazar; Milan Stehlik

doi:10.1016/j.ins.2018.07.052

Time evolutions of copulas and foreign exchange markets

I. Kupka, Jozef Kiselak, N. Ishimura, Y. Yoshizawa, Ledys Salazar, Milan Stehlik

Research output: Contribution to journal › Article › peer-review

Abstract

Time evolution of copulas is well visible in such a dynamical market as foreign exchange market (ForeX, FX, or currency market). We first show how several families of copulas evolving in time for EURO-JPY and CHF-JPY at ForeX market. Black-Scholes paradigm suggest to apply evolution of copulas with respect to heat equation. Stationary limit of such an evolution is proven to be an independence copula under strong regularity conditions. However, empirical observations of ForeX stock confirm that reality can be more delicate, because of the ForeX market violations. The manuscript shows that under slight changes of topology, the limiting object is not a copula, because the 1-Lipschitzianity continuity is violated. The authors study these kinds of convergences with respect to FEMA (Foreign Exchange Management Act) violations.

Original language	English
Number of pages	16
Journal	Information Sciences
DOIs	https://doi.org/10.1016/j.ins.2018.07.052
Publication status	Published - 2018

Fields of science

101007 Financial mathematics
101018 Statistics
101024 Probability theory
101029 Mathematical statistics
509 Other Social Sciences

JKU Focus areas

Computation in Informatics and Mathematics
Social and Economic Sciences (in general)

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10.1016/j.ins.2018.07.052

Cite this

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title = "Time evolutions of copulas and foreign exchange markets",

abstract = "Time evolution of copulas is well visible in such a dynamical market as foreign exchange market (ForeX, FX, or currency market). We first show how several families of copulas evolving in time for EURO-JPY and CHF-JPY at ForeX market. Black-Scholes paradigm suggest to apply evolution of copulas with respect to heat equation. Stationary limit of such an evolution is proven to be an independence copula under strong regularity conditions. However, empirical observations of ForeX stock confirm that reality can be more delicate, because of the ForeX market violations. The manuscript shows that under slight changes of topology, the limiting object is not a copula, because the 1-Lipschitzianity continuity is violated. The authors study these kinds of convergences with respect to FEMA (Foreign Exchange Management Act) violations.",

author = "I. Kupka and Jozef Kiselak and N. Ishimura and Y. Yoshizawa and Ledys Salazar and Milan Stehlik",

year = "2018",

doi = "10.1016/j.ins.2018.07.052",

language = "English",

journal = "Information Sciences",

issn = "1872-6291",

publisher = "Elsevier",

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TY - JOUR

T1 - Time evolutions of copulas and foreign exchange markets

AU - Kupka, I.

AU - Kiselak, Jozef

AU - Ishimura, N.

AU - Yoshizawa, Y.

AU - Salazar, Ledys

AU - Stehlik, Milan

PY - 2018

Y1 - 2018

N2 - Time evolution of copulas is well visible in such a dynamical market as foreign exchange market (ForeX, FX, or currency market). We first show how several families of copulas evolving in time for EURO-JPY and CHF-JPY at ForeX market. Black-Scholes paradigm suggest to apply evolution of copulas with respect to heat equation. Stationary limit of such an evolution is proven to be an independence copula under strong regularity conditions. However, empirical observations of ForeX stock confirm that reality can be more delicate, because of the ForeX market violations. The manuscript shows that under slight changes of topology, the limiting object is not a copula, because the 1-Lipschitzianity continuity is violated. The authors study these kinds of convergences with respect to FEMA (Foreign Exchange Management Act) violations.

AB - Time evolution of copulas is well visible in such a dynamical market as foreign exchange market (ForeX, FX, or currency market). We first show how several families of copulas evolving in time for EURO-JPY and CHF-JPY at ForeX market. Black-Scholes paradigm suggest to apply evolution of copulas with respect to heat equation. Stationary limit of such an evolution is proven to be an independence copula under strong regularity conditions. However, empirical observations of ForeX stock confirm that reality can be more delicate, because of the ForeX market violations. The manuscript shows that under slight changes of topology, the limiting object is not a copula, because the 1-Lipschitzianity continuity is violated. The authors study these kinds of convergences with respect to FEMA (Foreign Exchange Management Act) violations.

UR - http://www.jku.at/ifas

U2 - 10.1016/j.ins.2018.07.052

DO - 10.1016/j.ins.2018.07.052

M3 - Article

SN - 1872-6291

JO - Information Sciences

JF - Information Sciences

ER -

Time evolutions of copulas and foreign exchange markets

Abstract

Fields of science

JKU Focus areas

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Other files and links

Statistical Inference in Complex Situations

Applications of Statistical Methods

Modec (LIT) - Modeling complex dependencies: how to make strategic multicriterial decisions

Cite this

Time evolutions of copulas and foreign exchange markets

Abstract

Fields of science

JKU Focus areas

Access to Document

Other files and links

Projects

Statistical Inference in Complex Situations

Applications of Statistical Methods

Modec (LIT) - Modeling complex dependencies: how to make strategic multicriterial decisions

Cite this