Multi-scale Foreign Exchange Rates Ensemble for Classification of Trends in Forex Market
نویسندگان
چکیده
منابع مشابه
Testing Efficiency of an Arbitrage in Foreign Exchange Market (Forex): Simultaneous Ordering of Three Major Currency Pairs
In searching a market-neutral arbitrage strategy in forex market, we took a portfolio of three major currency pairs, EUR-USD, USD-JPY, and EUR-JPY. There are eight approaches, different cases of short and long positions; for example buying 1st and selling two others, etc. Historical daily FX rates were gathered since January 1990 until February 2011. Monthly covariances between daily growth rat...
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With considering a ‘triangle of three major currency pairs’, there is a tiny difference between multiplication of exchange rate for the first two currency pairs and the third. To discover whether this little difference can lead to a neutral arbitrage or not, I took portfolios of 35 baskets of three major currency pairs(combinations of all 7 major currencies). There are eight approaches (differe...
متن کاملForeign exchange market efficiency and common stochastic trends
In a recent paper, Baillie and Bollerslev (1989) using daily data from 1980 to 1985, identified six common stochastic trends in a vector of seven nominal exchange rates implying the existence of one cointegrating vector. Cointegration implies that (Granger) causality must run in at least one direction, that is, at least one of the exchange rates is predictable using current available informatio...
متن کاملconditional copula-garch methods for value at risk of portfolio: the case of tehran stock exchange market
ارزش در معرض ریسک یکی از مهمترین معیارهای اندازه گیری ریسک در بنگاه های اقتصادی می باشد. برآورد دقیق ارزش در معرض ریسک موضوع بسیارمهمی می باشد و انحراف از آن می تواند موجب ورشکستگی و یا عدم تخصیص بهینه منابع یک بنگاه گردد. هدف اصلی این مطالعه بررسی کارایی روش copula-garch شرطی در برآورد ارزش در معرض ریسک پرتفویی متشکل از دو سهام می باشد و ارزش در معرض ریسک بدست آمده با روشهای سنتی برآورد ارزش د...
Volatility in Foreign Exchange Rates
Four foreign exchange spot rate series, recorded on an hourly basis for a six-month period in 1986 are examined. A seasonal GARCH model is developed to describe the time-dependent volatility apparent in the percentage nominal return of each currency. Hourly patterns in volatility are found to be remarkably similar across currencies and appear to be related to the opening and closing of the worl...
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ژورنال
عنوان ژورنال: Procedia Computer Science
سال: 2014
ISSN: 1877-0509
DOI: 10.1016/j.procs.2014.05.190