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Forecasting and Hedging in the Foreign Exchange Markets

  • Christian¬†Ullrich

Part of the Lecture Notes in Economics and Mathematical Systems book series (LNE, volume 623)

Table of contents

  1. Front Matter
    Pages 1-14
  2. Introduction

    1. Front Matter
      Pages 1-1
    2. Christian Ullrich
      Pages 3-6
    3. Christian Ullrich
      Pages 7-12
  3. Foreign Exchange Market Predictability

    1. Front Matter
      Pages 14-14
    2. Christian Ullrich
      Pages 15-25
    3. Christian Ullrich
      Pages 27-28
    4. Christian Ullrich
      Pages 29-37
    5. Christian Ullrich
      Pages 39-39
  4. Exchange Rate Forecasting with Support Vector Machines

    1. Front Matter
      Pages 42-42
    2. Christian Ullrich
      Pages 43-45
    3. Christian Ullrich
      Pages 65-82
    4. Christian Ullrich
      Pages 83-103
  5. Exchange Rate Hedging in a Simulation/Optimization Framework

    1. Front Matter
      Pages 106-106
    2. Christian Ullrich
      Pages 107-115
    3. Christian Ullrich
      Pages 117-131
    4. Christian Ullrich
      Pages 133-140
    5. Christian Ullrich
      Pages 141-161
    6. Christian Ullrich
      Pages 163-179
  6. Contributions of the Dissertation

    1. Front Matter
      Pages 182-182
  7. References

    1. Front Matter
      Pages 1-1
  8. Back Matter
    Pages 1-17

About this book

Introduction

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 to expect correct or at least adequate decisions. From the high complexity of the foreign exchange market and related decision problems, the author derives the necessity to use tools from Machine Learning and Artificial Intelligence, e.g. Support Vector Machines, and to combine such methods with sophisticated financial modelling techniques. The suitability of this combination of ideas is demonstrated by an empirical study and by simulation.

Keywords

Analysis Distribution Finance Financial Modeling Hedging Motivation Statistical Analysis artificial intelligence classification complexity complexity theory machine learning modeling optimization simulation

Authors and affiliations

  • Christian¬†Ullrich

There are no affiliations available

Bibliographic information

  • DOI https://doi.org/10.1007/978-3-642-00495-7
  • Copyright Information Springer-Verlag Berlin Heidelberg 2009
  • Publisher Name Springer, Berlin, Heidelberg
  • eBook Packages Business and Economics
  • Print ISBN 978-3-642-00494-0
  • Online ISBN 978-3-642-00495-7
  • Series Print ISSN 0075-8442
  • Buy this book on publisher's site