This dissertation is concerned with the forecasting performance of time series models for the price movements of high-frequency transaction data on the Frankfurt Stock Exchange. The availability of high quality data of this kind at an affordable cost makes it possible to investigate the...

The growing complexity of many real world problems is one of the biggest challenges of our time. The area of international finance is one prominent example where decision making is often fraud to mistakes, and tasks such as forecasting, trading and hedging exchange rates seem to be too difficult...