SPECTRAL ANALYSIS OF EXCHANGE RATES

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...

Forecasting Exchange Rates: a Comparative Analysis

This research aims to analyze and to compare the ability of different mathematical models, such as artificial neural networks (ANN) and ARCH and GARCH models, to forecast the daily exchange rates Euro/U.S. dollar (USD), identifying which, among all the models applied, produces more accurate forecasts. By empirically comparing the different mathematical models developed in this research, the tra...

Nonlinearity In Exchange Rates and Forecasting

Exchange rates.

THE UNIVERSITY of Pennsylvania health system was in London recently, recruiting nurses. Its advertisement stated that its recruiters were experienced in hiring nurses from the UK, Ireland and the Philippines, and an 'on the spot job offer is a possibility'. This one advert neatly captures the dynamics of the new international nursing labour market. The advert was placed by an international recr...

Multi-affine analysis of typical currency exchange rates

For foreign currency exchange rates, multi-affine analysis can put quantitatively into evidence the differences between correlated (daily closing market) values and random walks in time dependent data. The H(q) spectrum is presented and discussed here for the USD/DEM and JPY/USD exchange rates. The time-evolution of these ratios is found to be multi-affine. The h(γ)-curve describing the hierarc...