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Persistent link: https://www.econbiz.de/10014250446
This paper studies predictability of currency returns over time and the extent to which it is captured by trading rules commonly used in currency markets. We consider the strategies that an investor endowed with rational expectations could have pursued to exploit out-of-sample currency...
Persistent link: https://www.econbiz.de/10013091728
other fields. The paper examines the potential of deep learning for exchange rate forecasting. We systematically compare …-forward networks in terms of their directional forecasting accuracy and the profitability of trading model predictions. Empirical … results indicate the suitability of deep networks for exchange rate forecasting in general but also evidence the difficulty of …
Persistent link: https://www.econbiz.de/10012827850
Based on the theory of static replication of variance swaps we assess the sign and magnitude of variance risk premiums … general shape of the implied volatility function of the corresponding currency pair. Overall, we conclude that there is a …
Persistent link: https://www.econbiz.de/10010410031
Simple regression tests that have power against the alternatives that. asset prices and expected future asset returns are excessively volatile are developed and performed for the foreign exchange and stock markets. These tests have a number of advantages over alternative, variance hounds...
Persistent link: https://www.econbiz.de/10012786275
in the quantum finances theory; 7) the final words on the perspectives of the quantum forecast techniques of the foreign …The accurate forecast of the foreign currencies exchange rates at the ultra high frequency electronic trading in the … markets in Asia, Europe and North America; 2) the research review on the classic forecast techniques of the foreign currencies …
Persistent link: https://www.econbiz.de/10013013057
Persistent link: https://www.econbiz.de/10012583340
Simple regression tests that have power against the alternatives that. asset prices and expected future asset returns are excessively volatile are developed and performed for the foreign exchange and stock markets. These tests have a number of advantages over alternative, variance hounds...
Persistent link: https://www.econbiz.de/10012476706
Persistent link: https://www.econbiz.de/10013434363
Persistent link: https://www.econbiz.de/10014448138