The paper contains an analysis of advantages and drawbacks of existing modeling approaches to exchange rate forecast and currency risk management. The behavioral features of foreign exchange market participants and their impact on market’s long-term memory were analyzed after the onset of significant events. Special attention was paid to the “Pareto distribution series” to find the point values of the rates that form the trends and determine the trajectory of currency rates. Based on the existing researches of FX rate prediction models authors developed an alternative approach that gives more accurate forecasts of the FX rates and, respectively, currency risk assessment in national banking systems.
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Sandoyan, E., Manukyan, D. Exchange Rate Forecast: a New Approach for Armenian Dram. Transit Stud Rev 20, 159–177 (2013). https://doi.org/10.1007/s11300-013-0283-5
- FX Market
- FX Risk
- Banking system and math modeling