相关论文: Forecasting the Turkish Lira Exchange Rates throug…
We study trajectory forecasting under squared loss for time series with weak conditional structure, using highly expressive prediction models. Building on the classical characterization of squared-loss risk minimization, we emphasize…
We calibrate and test various variants of field theory models of the interest rate with data from eurodollars futures. A model based on a simple psychological factor are seen to provide the best fit to the market. We make a model…
Selecting an appropriate statistical model to forecast exchange rates is still today a relevant issue for policymakers and central bankers. The so-called Meese and Rogoff puzzle assesses that exchange rate fluctuations are unpredictable. In…
In this paper we study empirically the Forward Rate Curve (FRC) of 5 different currencies. We confirm and extend the findings of our previous investigation of the U.S. Forward Rate Curve. In particular, the average FRC follows a square-root…
This paper examines foreign exchange risk premia from simple univariate regressions to the state-space method. The adjusted traditional regressions properly figure out the existence and time-evolving property of the risk premia.…
The accuracy of the household electricity consumption forecast is vital in taking better cost effective and energy efficient decisions. In order to design accurate, proper and efficient forecasting model, characteristics of the series have…
We evaluate the model averaged profile likelihood confidence intervals proposed by Fletcher and Turek (2011) in a simple situation in which there are two linear regression models over which we average. We obtain exact expressions for the…
We examine the impact of mandatory export proceeds repatriation on exchange rate stability in three emerging markets, Iran, Sri Lanka, and Turkey, using the Generalized Synthetic Control framework. By modeling exchange rate stochastic…
The present document delineates the analysis, design, implementation, and benchmarking of various neural network architectures within a short-term frequency prediction system for the foreign exchange market (FOREX). Our aim is to simulate…
Consider the problem of a central bank that wants to manage the exchange rate between its domestic currency and a foreign one. The central bank can purchase and sell the foreign currency, and each intervention on the exchange market leads…
The cross-correlations between the exchange rate fluctuations of 74 currencies over the period 1995-2012 are analyzed in this paper. The eigenvalue distribution of the cross-correlation matrix exhibits a bulk which approximately matches the…
World currency network constitutes one of the most complex structures that is associated with the contemporary civilization. On a way towards quantifying its characteristics we study the cross correlations in changes of the daily foreign…
This paper offers a thorough examination of the univariate predictability in cryptocurrency time-series. By exploiting a combination of complexity measure and model predictions we explore the cryptocurrencies time-series forecasting task…
This article studies the financial time series data processing for machine learning. It introduces the most frequent scaling methods, then compares the resulting stationarity and preservation of useful information for trend forecasting. It…
Bidders in day-ahead electricity markets want to sell/buy electricity when their bids generate positive surplus and not to take an action when the reverse holds. However, non-convexities in these markets cause conflicts between the actions…
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…
A time-varying cointegration model for foreign exchange rates is presented. Unlike previous studies, we allow the loading matrix in the vector error correction (VEC) model to be varying over time. Because the loading matrix in the VEC model…
Many studies have shown that there are good reasons to claim very low predictability of currency nevertheless, the deviations from true randomness exist which have potential predictive and prognostic power [J.James, Quantitative finance 3…
Inflation is a major determinant for allocation decisions and its forecast is a fundamental aim of governments and central banks. However, forecasting inflation is not a trivial task, as its prediction relies on low frequency, highly…
We study the continuous time random walk theory from financial tick data of the yen-dollar exchange rate transacted at the Japanese financial market. The dynamical behavior of returns and volatilities in this case is particularly treated at…