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S TUDENT _________________________ G RUPA _______ E CHIPA _______




1. Vizionai urmtorul film oferit de Bloomberg: Explicai care sunt diferenele ntre a tranzaciona pe pieele forex versus pieele de capital.

2. Explicai ce rol poate avea volatilitatea n tranzaciile realizate pe

pieele forex, vizionnd filmul oferit de Bloomberg:

3. Accesai i din meniu alegei Rates & Charts, apoi

selectai Interbank FX Rates. Se cere: Presupunnd c suntei un trader, verificai dac exist oportuniti de arbitraj triunghiular pentru monedele desemnate n documentul excel. Pentru a rezolva aceast cerin urmai paii de mai jos: a) Mai nti preluai cotaiile spot n timp real dnd un printscreen1, dup modelul de mai jos, pe care le vei utiliza n continuare pentru calcule. De pild, s presupunem c am alege perechile EUR/USD, GBP/USD i EUR/GBP. b) Apoi calculai cotaiile ncruciate pentru oricare dintre cele 3 perechi de valute i verificai dac exist oportuniti de arbitraj pe piaa FOREX. c) Verificm dac exist oportuniti de arbitraj triunghiular i prin metoda celor dou scheme: 1. EUR USD 2. EUR USD

GBP GBP n cazul n care exist oportuniti de arbitraj, precizm randamentul obinut.

Dup ce ai apsat tasta Prtsc, lipii (en. paste) imaginea n Paint, apoi decupai doar tabelul, figura, obiectul dorit.

4. n cadrul aceluiai meniu Rates & Charts de pe,

selectai Forward Rates. Alegei perechea desemnat n documentul excel, dai un printscreen cotaiilor forward n timp real, pe care le copiai n cadrul proiectului vostru, de exemplu:

Se cere: a) Preluai o cotaie spot cu printscreen i calculai cotaiile forward pentru orizonturile de timp indicate n anexa? Ce moned face prim (pentru perechea aleas X/Y, ce anticipeaz investitorii n legtur cu evoluia cursului de schimb)? Explicai.

b) Realizai un grafic cu punctele forward bid i ask aferente tuturor orizonturilor de prognoz considerate n data de xx.01.2012. Comentai. c) Calculai spread-ul punctelor forward pentru toate scadenele i reprezentai grafic. Comentai graficul realizat. d) innd cont de perechea de valute repartizat (X/Y), vei realiza o serie de tranzacii la termen. - vindei la termen 1000 uniti din moneda X. Cte uniti din moneda Y vei ncasa pentru cele trei orizonturi de timp de la cerina a); - vindei la termen 1000 uniti din moneda Y. Cte uniti din moneda X vei ncasa pentru cele trei orizonturi de timp de la cerina a);

5. Accesnd din meniul Rates & Charts, alegei Live

Charts Window pentru a realiza analiza tehnic pentru perechea de valute desemnat la cerina 122. Pentru aceasta din Settings (vezi Figura 1) putei selecta tipul graficului (cu lumnri, cu bare .a.), indicatorii utili n analiza tehnic (EMA, MA, Williams %R, ROC i muli alii). Alegei perechea desemnat pentru a realiza analiza tehnic. Implicit graficul generat este de tip candlestick, avnd o frecven a cotaiilor valutare la 5 minute. Cerine: a) Descriei n cteva rnduri o tire mai important care credei c a afectat evoluia cursului de schimb aferent perechii X/Y. Pentru a observa tirile acionai butonul . b) Alegei doi indicatori de analiz tehnic (settings), copiai cu printscreen n proiect, explicai aceti doi indicatori i tragei o concluzie pe baza lor.

V recomand s citii cteva instruciuni n ceea ce privete realizarea graficelor realizate i interpretarea indicatorilor utilizai n analiza tehnic.

Figura 1. Evoluia cursului EUR/USD n 4 noiembrie, cotaii la 5 minute(1)

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

Lumnarea verde reprezint creterea cursului, iar lumnarea roie scderea cursului. Sursa:


6. Citii urmtorul studiu de caz i facei un scurt rezumat (jumtate de

pagin): 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, 6

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.
Ran k 1 2 3 4 5 6 7 8-9 8-9 10 11 12 13 14 Top 6 Most Traded Currencies Currency ISO Share 4217 April Code 2007 United States dollar USD 86,3% EUR 37,0% Euro JPY 17,0% Japanese yen GBP 15,0% British pound

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


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

franc Australian dollar

Canadian dollar


6,8% 6,7% 4,2% 2,8% 2,8% 2,2% 1,9% 1,3% 1,2% 1,1% 14,5% 200%

Swedish krona Hong Kong dollar Norwegian krone New Zealand dollar Mexican peso Singapore dollar South Korean won

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.

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 traders 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.

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.