FACULTATEA DE FINANȚE, ASIGURĂRI, BĂNCI ȘI BURSE DE VALORI

RELAȚII MONETAR-FINANCIARE INTERNAȚIONALE

- PROIECT -

STUDENT

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GRUPA

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ECHIPA

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2011

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PARTEA A IV-A – PIAȚA FOREX

1. Vizionaţi următorul film oferit de Bloomberg: http://www.bloomberg.com/video/73142794/Explicaţi care sunt diferenţele între a tranzacţiona pe pieţele forex versus pieţele de capital.

2. Explicaţi ce rol poate avea volatilitatea în tranzacţiile realizate pe pieţele forex, vizionând filmul oferit de Bloomberg:http://www.bloomberg.com/video/64585742/

3. Accesaţi www.fxstreet.com şi din meniu alegeţi Rates & Charts, apoi selectaţi Interbank FX Rates. Se cere:Presupunând că sunteţi un trader, verificaţi dacă există oportunităţi de arbitraj triunghiular pentru monedele desemnate în documentul excel. Pentru a rezolva această cerinţă urmaţi paşii de mai jos:

a) Mai întâi preluaţi cotaţiile spot în timp real dând un printscreen1, după modelul de mai jos, pe care le veți utiliza în continuare pentru calcule. De pildă, să presupunem că am alege perechile EUR/USD, GBP/USD şi EUR/GBP.

b) Apoi calculaţi cotaţiile încrucişate pentru oricare dintre cele 3 perechi de valute şi verificaţi dacă există oportunităţi de arbitraj pe piaţa FOREX.

c) Verificăm dacă există oportunităţi de arbitraj triunghiular şi prin metoda celor două scheme:

1. EUR USD 2. EUR USD

GBP GBPÎn cazul în care există oportunităţi de arbitraj, precizăm randamentul obţinut.

1 După ce aţi apăsat tasta Prtsc, lipiţi (en. paste) imaginea în Paint, apoi decupaţi doar tabelul, figura, obiectul dorit.

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4. În cadrul aceluiaşi meniu Rates & Charts de pe www.fxstreet.com, selectaţi Forward Rates. Alegeţi perechea desemnată în documentul excel, daţi un printscreen cotaţiilor forward în timp real, pe care le copiați în cadrul proiectului vostru, de exemplu:

Se cere:a) Preluați o cotație spot cu printscreen și calculați cotațiile forward

pentru orizonturile de timp indicate în anexa? Ce monedă face primă (pentru perechea aleasă X/Y, ce anticipează investitorii în legătură cu evoluţia cursului de schimb)? Explicați.

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b) Realizaţi un grafic cu punctele forward bid şi ask aferente tuturor orizonturilor de prognoză considerate în data de xx.01.2012. Comentaţi.

c) Calculaţi spread-ul punctelor forward pentru toate scadenţele şi reprezentaţi grafic. Comentaţi graficul realizat.

d) Ținând cont de perechea de valute repartizată (X/Y), veți realiza o serie de tranzacții la termen.- vindeți la termen 1000 unități din moneda X. Câte unități din moneda Y veți încasa pentru cele trei orizonturi de timp de la cerința a);- vindeți la termen 1000 unități din moneda Y. Câte unități din moneda X veți încasa pentru cele trei orizonturi de timp de la cerința a);

5. Accesând www.fxstreet.com din meniul Rates & Charts, alegeţi Live Charts Window pentru a realiza analiza tehnică pentru perechea de valute desemnată la cerința 122. Pentru aceasta din Settings (vezi Figura 1) puteţi selecta tipul graficului (cu lumânări, cu bare ş.a.), indicatorii utili în analiza tehnică (EMA, MA, Williams %R, ROC şi mulţi alţii). Alegeţi perechea desemnată pentru a realiza analiza tehnică. Implicit graficul generat este de tip „candlestick”, având o frecvenţă a cotaţiilor valutare la 5 minute.Cerinţe:a) Descrieţi în câteva rânduri o ştire mai importantă care credeţi că a

afectat evoluţia cursului de schimb aferent perechii X/Y. Pentru a observa ştirile acţionaţi butonul .

b) Alegeți doi indicatori de analiză tehnică (settings), copiaţi cu printscreen în proiect, explicați acești doi indicatori și trageți o concluzie pe baza lor.

Figura 1. Evoluţia cursului EUR/USD în 4 noiembrie, cotaţii la 5 minute(1)

2 Vă recomand să citiţi câteva instrucţiuni în ceea ce priveşte realizarea graficelor realizate şi interpretarea indicatorilor utilizaţi în analiza tehnică.

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(1) Lumânarea verde reprezintă creşterea cursului, iar lumânarea roşie scăderea cursului.Sursa: www.fxstreet.com

6. Citiți următorul studiu de caz și faceți un scurt rezumat (jumătate de pagină):

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4 Nov. 9:25Open 1.38214Highest 1.38238Lowest 1.38173Close 1.38191Chg(%) 0.02%EMA 20 1.38087EMA 50 1.38098EMA 150 1.38073

Studiu de caz: FOREX Market

The foreign exchange market (currency, forex, or FX) trades currencies. It lets banks and other institutions easily buy and sell currencies.

The purpose of the foreign exchange market is to help international trade and investment. A foreign exchange market helps businesses convert one currency to another. For example, it permits a U.S. business to import European goods and pay Euros, even though the business's income is in U.S. dollars.

The foreign exchange market is unique because of:

its trading volumes, the extreme liquidity of the market, its geographical dispersion, its long trading hours: 24 hours a day except on weekends (from 22:00 UTC on Sunday until 22:00 UTC Friday), the variety of factors that affect exchange rates. the low margins of profit compared with other markets of fixed income (but profits can be high due to very large trading volumes) the use of leverage.

There is no unified or centrally cleared market for the majority of FX trades, and there is very little cross-border regulation. Due to the over-the-counter (OTC) nature of currency markets, there are rather a number of interconnected marketplaces, where different currencies instruments traded. This implies that there is not a single exchange rate but rather a number of different rates (prices), depending on what bank or market maker is trading, and where it is. In practice the rates are often very close, otherwise they could be exploited by arbitrageurs instantaneously. The main trading center is London, but New York, Tokyo, Hong Kong and Singapore are all important centers as well. Banks throughout the world participate. Currency trading happens continuously throughout the day; as the Asian trading session ends, the European session begins, followed by the North American session and then back to the Asian session, excluding weekends.

Fluctuations in exchange rates are usually caused by actual monetary flows as well as by expectations of changes in monetary flows caused by changes in gross domestic product (GDP) growth, inflation (purchasing power parity theory), interest rates (interest rate parity, Domestic Fisher effect, International Fisher effect), budget and trade deficits or surpluses, large cross-border M&A (Mergers and Acquisitions) deals and other macroeconomic conditions. Major news is released publicly, often on scheduled dates, so many people have access to the same news at the same time. However, the large banks have an important advantage; they can see their customers' order flow.

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While forex has been traded since the beginning of financial markets, on-line retail trading has only been active since about 1996. From the 1970s, larger retail traders could trade FX contracts at the Chicago Mercantile Exchange.

By 1996 on-line retail forex trading became practical. Internet-based market makers would take the opposite side of retail trader’s trades.These companies also created retail forex platform that provided a quick way for individuals to buy and sell on the forex spot

market.In online currency exchange, few or no transactions actually lead to physical delivery to the client; all positions will eventually be closed. The market makers offer high amounts of leverage. While up to 4:1 leverage is available in equities and 20:1 in Futures, it is common to have 100:1 leverage in currencies. In the typical 100:1 scenario, the client absorbs all risks associated with controlling a position worth 100 times his capital.

High Leverage

The idea of margin (leverage) and floating loss is another important trading concept and is perhaps best understood using an example. Most retail Forex market makers permit 100:1 leverage, but also, crucially, require you to have a certain amount of money in your account to protect against a critical loss point. For example, if a $100,000 position is held in EUR/USD on 100:1 leverage, the trader has to put up $1,000 to control the position. However, in the event of a declining value of your positions, Forex market makers, mindful of the fast nature of forex price swings and the amplifying effect of leverage, typically do not allow their traders to go negative and make up the difference at a later date. In order to make sure the trader does not lose more money than is held in the account, forex market makers typically employ automatic systems to close out positions when clients run out of margin (the amount of money in their account not tied to a position). If the trader has $2,000 in his account, and he is buying a $100,000 lot of EUR/USD, he has $1,000 of his $2,000 tied up in margin, with $1,000 left to allow his position to fluctuate downward without being closed out.

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Top 6 Most Traded CurrenciesRan

kCurrency ISO

4217Code

ShareApril 2007

1  United States dollar USD 86,3%2   Euro EUR 37,0%

3  Japanese yen JPY 17,0%

4  British pound sterling

GBP 15,0%

5  Swiss franc CHF 6,8%

6 Australian dollar AUD 6,7%

7 Canadian dollar CAD 4,2%8-9  Swedish krona SEK 2,8%

8-9  Hong Kong dolla r HKD 2,8%

10  Norwegian krone NOK 2,2%

11  New Zealand dollar NZD 1,9%

12  Mexican peso MXN 1,3%

13  Singapore dollar SGD 1,2%

14  South Korean won KRW 1,1%

Other 14,5%Total 200%

On the spot market, according to the BIS study, the most heavily traded products were:

EURUSD: 27%; USDJPY: 13%; GBPUSD (also called cable): 12%.

and the US currency was involved in 86.3% of transactions, followed by the euro (37.0%), the yen (17.0%), and sterling (15.0%) (see table). Volume percentages for all individual currencies should add up to 200%, as each transaction involves two currencies.

Transaction Costs and Market Makers

Market makers are compensated for allowing clients to enter the market. They take part or all of the spread in all currency pairs traded. In a common example, EUR/USD, the spread is typically 3 pips (percentage in point) or 3/100 of a cent in this example. Thus prices are quoted with both bid and offer (i.e. "ask") prices (e.g., Buy EUR/USD 1.4903, Sell EUR/USD 1.4900). Traders buy at the higher "offer" or "ask" price, and sell at the lower "bid" price, thus giving up the difference, or the spread, as the cost of the transaction. Of course, the actual price level may also change during the interval between buying and selling.

That difference of 3 pips is the spread and can amount to a significant amount of money. Because the typical standard lot is 100,000 units of the base currency, those 3 pips on EUR/USD translate to $30 paid by the client to the market maker. However, a pip is not always $10. A pip is 1/100th of a cent (or whatever), and the currency pairs are always purchased by buying 100,000 of the base currency.

For the pair EUR/USD, the quote currency is USD; thus, 1/100th of a cent on a pair with USD as the quote currency will always have a pip of $10. If, on the other hand, your currency pair has Swiss francs (CHF) as a quote instead of USD, then 1/100th of a cent is now worth around $9, because you are buying 100,000 of whatever in Swiss francs.

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