Related papers: Exchange Rate Predictability in a Changing World
As a rigorous statistical approach, statistical Taylor expansion extends the conventional Taylor expansion by replacing precise input variables with random variables of known distributions and sample counts to compute the mean, the…
Understanding the stochastic behavior of currency exchange rates is critical for assessing financial stability and anticipating market transitions. In this study, we investigate the empirical dynamics of the USD exchange rate in three…
Estimating and quantifying uncertainty in unknown system parameters from limited data remains a challenging inverse problem in a variety of real-world applications. While many approaches focus on estimating constant parameters, a subset of…
The fundamental theorem behind financial markets is that stock prices are intrinsically complex and stochastic. One of the complexities is the volatility associated with stock prices. Volatility is a tendency for prices to change…
For the pedestrian observer, financial markets look completely random with erratic and uncontrollable behavior. To a large extend, this is correct. At first approximation the difference between real price changes and the random walk model…
This paper empirically assesses predictions of Goodwin's model of cyclical growth regarding demand and distributive regimes when integrating the real and financial sectors. In addition, it evaluates how financial and employment shocks…
We evaluate the average waiting time between observing the price of financial markets and the next price change, especially in an on-line foreign exchange trading service for individual customers via the internet. Basic technical idea of…
We present an empirical study of the subordination hypothesis for a stochastic time series of a stock price. The fluctuating rate of trading is identified with the stochastic variance of the stock price, as in the continuous-time random…
Conformal prediction is a popular, modern technique for providing valid predictive inference for arbitrary machine learning models. Its validity relies on the assumptions of exchangeability of the data, and symmetry of the given model…
We propose a useful approach for investigating the statistical properties of foreign currency exchange rates. Our approach is based on queueing theory, particularly, the so-called renewal-reward theorem. For the first passage processes of…
This paper investigates the time-varying impacts of international macroeconomic uncertainty shocks. We use a global vector autoregressive specification with drifting coefficients and factor stochastic volatility in the errors to model six…
Recent work has questioned the reliability of graph learning benchmarks, citing concerns around task design, methodological rigor, and data suitability. In this extended abstract, we contribute to this discussion by focusing on evaluation…
The accurate prediction of time-changing variances is an important task in the modeling of financial data. Standard econometric models are often limited as they assume rigid functional relationships for the variances. Moreover, function…
Fluctuations in stock prices are influenced by a complex interplay of factors that go beyond mere historical data. These factors, themselves influenced by external forces, encompass inter-stock dynamics, broader economic factors, various…
Trading styles can be classified into either trend-following or mean-reverting. If the net trading style is trend-following the traded asset is more likely to move in the same direction it moved previously (the opposite is true if the net…
Technical analysis is used to discover investment opportunities. To test this hypothesis we propose an hybrid system using machine learning techniques together with genetic algorithms. Using technical analysis there are more ways to…
We investigate how price variations of a stock are transformed into profits and losses (P&Ls) of a trend following strategy. In the frame of a Gaussian model, we derive the probability distribution of P&Ls and analyze its moments (mean,…
Tempered stable distributions are frequently used in financial applications (e.g., for option pricing) in which the tails of stable distributions would be too heavy. Given the non-explicit form of the probability density function,…
This paper is about our attempt of identifying trade elasticities through the variations in the exchange rate, for possible applications to the case of services whose physical transactions are veiled in the trade statistics. The regression…
The prediction of foreign exchange rates, such as the US Dollar (USD) to Bangladeshi Taka (BDT), plays a pivotal role in global financial markets, influencing trade, investments, and economic stability. This study leverages historical…