Professional vs. amateur judgment accuracy: The case of foreign exchange rates
نویسندگان
چکیده
منابع مشابه
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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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...
Quantitative Analysis of Foreign Exchange Rates
In our class project we have explored foreign exchange data. We analyze daily and hourly returns for the five major currencies, US dollar, Euro, Japanese yen, British pound, and the Swiss franc. The data can be best fitted by a q-Gaussian but we have not been able to model this behavior yet. We start investigating some traits of the distribution, like correlation and time dependence, to open th...
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| In this paper, a neural network based foreign exchange rates forecasting method is discussed. Neural networks with time series and technical indicators as inputs are built to capture the underlying \rules" of the movement in currency exchange rates. Before using historical data to train the neural networks, the traditional R/S analysis is used to test the \eeciency" of each market. The study ...
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ژورنال
عنوان ژورنال: Organizational Behavior and Human Decision Processes
سال: 2003
ISSN: 0749-5978
DOI: 10.1016/s0749-5978(03)00058-x