Forecasting and hedging in the foreign exchange markets:
Gespeichert in:
| 1. Verfasser: | |
|---|---|
| Format: | Buch |
| Sprache: | English |
| Veröffentlicht: |
Berlin ; Heidelberg
Springer
2009
|
| Schriftenreihe: | Lecture notes in economics and mathematical systems
623 |
| Schlagworte: | |
| Online-Zugang: | Inhaltstext Inhaltsverzeichnis |
| Beschreibung: | Literaturangaben |
| Beschreibung: | XVIII, 207 S. graph. Darst. 24 cm |
| ISBN: | 9783642004940 |
Internformat
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| 100 | 1 | |a Ullrich, Christian |e Verfasser |4 aut | |
| 245 | 1 | 0 | |a Forecasting and hedging in the foreign exchange markets |c Christian Ullrich |
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| 650 | 7 | |a EU-Staaten |2 stw | |
| 650 | 7 | |a Hedging |2 stw | |
| 650 | 7 | |a Komplexe Systeme |2 stw | |
| 650 | 7 | |a Prognoseverfahren |2 stw | |
| 650 | 7 | |a Simulation |2 stw | |
| 650 | 7 | |a Support Vector Machine |2 stw | |
| 650 | 7 | |a Theorie |2 stw | |
| 650 | 7 | |a USA |2 stw | |
| 650 | 7 | |a Wechselkurs |2 stw | |
| 650 | 4 | |a Foreign exchange market | |
| 650 | 4 | |a Foreign exchange market |x Computer simulation | |
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| 650 | 4 | |a Hedging (Finance) | |
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Datensatz im Suchindex
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| adam_text |
CONTENTS PARTI INTRODUCTION 1 MOTIVATION 3 2 ANALYTICAL OUTLOOK 7 2.1
FOREIGN EXCHANGE MARKET PREDICTABILITY 7 2.2 EXCHANGE RATE FORECASTING
WITH SUPPORT VECTOR MACHINES 8 2.3 EXCHANGE RATE HEDGING IN A
SIMULATION/OPTIMIZATION FRAMEWORK 10 PART N FOREIGN EXCHANGE MARKET
PREDICTABILITY 3 EQUILIBRIUM RELATIONSHIPS 15 3.1 PURCHASING POWER
PARITY THEOREM 15 3.1.1 ABSOLUTE PPP 15 3.1.2 RELATIVE PPP 16 3.1.3
EMPIRICAL EVIDENCE 17 3.1.4 EXPLANATIONS FOR DEVIATIONS FROM PPP 19 3.2
INTEREST RATE PARITY (IRP) THEOREM 21 3.2.1 COVERED INTEREST RATE PARITY
(CIP) 21 3.2.2 UNCOVERED COVERED INTEREST RATE PARITY (UIP) 22 3.2.3
EMPIRICAL EVIDENCE 22 3.2.4 EXPLANATIONS FOR DEVIATIONS FROM IRP 24 4
MARKET EFFICIENCY CONCEPTS 27 4.1 INFORMATIONAL EFFICIENCY 27 4.2
SPECULATIVE EFFICIENCY 28 5 VIEWS FROM COMPLEXITY THEORY 29 5.1
INTRODUCTION 29 5.2 CALCULATING FIXED POINT MARKET EQUILIBRIUM 32 5.2.1
COMPUTATIONAL COMPLEXITY OF CENTRALIZED EQUILIBRIUM 32 BIBLIOGRAFISCHE
INFORMATIONEN HTTP://D-NB.INFO/992498708 DIGITALISIERT DURCH XIV
CONTENTS 5.2.2 COMPUTATIONAL COMPLEXITY OF DECENTRALIZED EQUILIBRIUM.
33 5.2.3 ADAPTIVE/INDUCTIVE LEARNING OF RATIONAL EXPECTATIONS EQUILIBRIA
34 5.3 COMPUTATIONAL DIFFICULTIES WITH EFFICIENCY 35 5.3.1 INFORMATION
INTERPRETATION 35 5.3.2 COMPUTATIONAL COMPLEXITY OF ARBITRAGE 37 6
CONCLUSIONS 39 PART III EXCHANGE RATE FORECASTING WITH SUPPORT VECTOR
MACHINES 7 INTRODUCTION 43 8 STATISTICAL ANALYSIS OF DAILY EXCHANGE RATE
DATA 47 8.1 TIME SERIES PREDICTABILITY 47 8.2 EMPIRICAL ANALYSIS 47
8.2.1 STATIONARITY 50 8.2.2 NORMAL DISTRIBUTION 53 8.2.3 LINEARITY 54
8.2.4 HETEROSKEDASTICITY 57 8.2.5 NONLINEARITY 61 8.2.6 RESULTS 63 9
SUPPORT VECTOR CLASSIFICATION 65 9.1 BINARY CLASSIFICATION PROBLEM (BCP)
65 9.2 ON THE COMPUTATIONAL COMPLEXITY OF THE BCP 65 9.3 SUPERVISED
LEARNING 67 9.4 STRUCTURAL RISK MINIMIZATION 69 9.5 SUPPORT VECTOR
MACHINES 71 9.5.1 LEARNING IN FEATURE SPACE 71 9.5.2 KERNEL FUNCTIONS 72
9.5.3 OPTIMAL SEPARATING HYPERPLANE 73 9.5.4 GENERALIZED OPTIMAL
SEPARATING HYPERPLANE 79 9.5.5 GENERALIZATION IN HIGH DIMENSIONAL
FEATURE SPACE 81 10 DESCRIPTION OF EMPIRICAL STUDY AND RESULTS 83 10.1
EXPLANATORY DATASET 83 10.1.1 PHASE ONE: INPUT DATA SELECTION 84 10.1.2
PHASE TWO: DIMENSIONALITY REDUCTION 84 10. CONTENTS XV 10.7 EVALUATION
PROCEDURE 97 10.7.1 STATISTICAL EVALUATION 97 10.7.2 OPERATIONAL
EVALUATION 98 10.8 NUMERICAL RESULTS AND DISCUSSION 99 PART IV EXCHANGE
RATE HEDGING IN A SIMULATION/OPTIMIZATION FRAMEWORK 11 INTRODUCTION 107
12 PREFERENCES OVER PROBABILITY DISTRIBUTIONS 117 12.1 CURRENCY HEDGING
INSTRUMENTS 117 12.1.1 FORWARD 117 12.1.2 PLAIN VANILLA OPTION 119
12.1.3 STRADDLE 121 12.2 FORMAL RELATIONSHIP BETWEEN FIRM AND CAPITAL
MARKET EXPECTATIONS 122 12.3 SPECIFICATION OF PROBABILITY DISTRIBUTION
FUNCTION 123 12.4 EXPECTED UTILITY MAXIMIZATION AND THREE-MOMENTS
RANKING 124 12.4.1 PREFERENCE STRUCTURES OVER LOTTERIES 124 12.4.2
PREFERENCE STRUCTURES OVER UTILITY FUNCTIONS 126 12.4.3 EXPECTED UTILITY
MAXIMIZATION 126 12.4.4 INCREASING WEALTH PREFERENCE 127 12.4.5 RISK
AVERSION PREFERENCE 127 12.4.6 RUIN AVERSION PREFERENCE 128 12.5
SPECIFICATION OF UTILITY FUNCTION 129 13 PROBLEM STATEMENT AND
COMPUTATIONAL COMPLEXITY 133 13.1 PROBLEM STATEMENT 133 13.2
COMPUTATIONAL COMPLEXITY CONSIDERATIONS 135 13.2.1 COMPLEXITY OF
DETERMINISTIC COMBINATORIAL OPTIMIZATION .135 13.2.2 COMPLEXITY OF
STOCHASTIC COMBINATORIAL OPTIMIZATION 137 13.2.3 OBJECTIVE FUNCTION
CHARACTERISTICS 139 14 MODEL IMPLEMENTATION 141 14.1
SIMULATION/OPTIMIZATION 141 14. XVI CONTENTS 15 SIMULATION/OPTIMIZATION
EXPERIMENTS 163 15.1 PRACTICAL MOTIVATION 163 15.2 MODEL BACKTESTING 163
15.2.1 OVERVIEW 163 15.2.2 DATA INPUTS AND PARAMETERS 164 15.2.3
EVALUATION PROCEDURE 170 15.3 RESULTS 173 15.3.1 EX ANTE PERFORMANCE 173
15.3.2 EX POST PERFORMANCE 176 PARTV CONTRIBUTIONS OF THE DISSERTATION
16 EXCHANGE RATE FORECASTING WITH SUPPORT VECTOR MACHINES 183 17
EXCHANGE RATE HEDGING IN A SIMULATION/OPTIMIZATION FRAMEWORK . 185 PART
VI REFERENCES REFERENCES 191 |
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| spelling | Ullrich, Christian Verfasser aut Forecasting and hedging in the foreign exchange markets Christian Ullrich Berlin ; Heidelberg Springer 2009 XVIII, 207 S. graph. Darst. 24 cm txt rdacontent n rdamedia nc rdacarrier Lecture notes in economics and mathematical systems 623 Literaturangaben Devisenmarkt - Kursprognose - Hedging - Entscheidungsfindung - Künstliche Intelligenz Devisenmarkt stw EU-Staaten stw Hedging stw Komplexe Systeme stw Prognoseverfahren stw Simulation stw Support Vector Machine stw Theorie stw USA stw Wechselkurs stw Foreign exchange market Foreign exchange market Computer simulation Foreign exchange market Forecasting Hedging (Finance) Hedging (Finance) Computer simulation Hedging (Finance) Forecasting Entscheidungsfindung (DE-588)4113446-1 gnd rswk-swf Künstliche Intelligenz (DE-588)4033447-8 gnd rswk-swf Devisenmarkt (DE-588)4139011-8 gnd rswk-swf Hedging (DE-588)4123357-8 gnd rswk-swf Kursprognose (DE-588)4418886-9 gnd rswk-swf (DE-588)4113937-9 Hochschulschrift gnd-content Devisenmarkt (DE-588)4139011-8 s Kursprognose (DE-588)4418886-9 s Hedging (DE-588)4123357-8 s Entscheidungsfindung (DE-588)4113446-1 s Künstliche Intelligenz (DE-588)4033447-8 s DE-604 Erscheint auch als Online-Ausgabe 978-3-642-00495-7 Lecture notes in economics and mathematical systems 623 (DE-604)BV000000036 623 text/html http://deposit.dnb.de/cgi-bin/dokserv?id=3239841&prov=M&dok_var=1&dok_ext=htm Inhaltstext DNB Datenaustausch application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=017637041&sequence=000001&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA Inhaltsverzeichnis |
| spellingShingle | Ullrich, Christian Forecasting and hedging in the foreign exchange markets Lecture notes in economics and mathematical systems Devisenmarkt - Kursprognose - Hedging - Entscheidungsfindung - Künstliche Intelligenz Devisenmarkt stw EU-Staaten stw Hedging stw Komplexe Systeme stw Prognoseverfahren stw Simulation stw Support Vector Machine stw Theorie stw USA stw Wechselkurs stw Foreign exchange market Foreign exchange market Computer simulation Foreign exchange market Forecasting Hedging (Finance) Hedging (Finance) Computer simulation Hedging (Finance) Forecasting Entscheidungsfindung (DE-588)4113446-1 gnd Künstliche Intelligenz (DE-588)4033447-8 gnd Devisenmarkt (DE-588)4139011-8 gnd Hedging (DE-588)4123357-8 gnd Kursprognose (DE-588)4418886-9 gnd |
| subject_GND | (DE-588)4113446-1 (DE-588)4033447-8 (DE-588)4139011-8 (DE-588)4123357-8 (DE-588)4418886-9 (DE-588)4113937-9 |
| title | Forecasting and hedging in the foreign exchange markets |
| title_auth | Forecasting and hedging in the foreign exchange markets |
| title_exact_search | Forecasting and hedging in the foreign exchange markets |
| title_full | Forecasting and hedging in the foreign exchange markets Christian Ullrich |
| title_fullStr | Forecasting and hedging in the foreign exchange markets Christian Ullrich |
| title_full_unstemmed | Forecasting and hedging in the foreign exchange markets Christian Ullrich |
| title_short | Forecasting and hedging in the foreign exchange markets |
| title_sort | forecasting and hedging in the foreign exchange markets |
| topic | Devisenmarkt - Kursprognose - Hedging - Entscheidungsfindung - Künstliche Intelligenz Devisenmarkt stw EU-Staaten stw Hedging stw Komplexe Systeme stw Prognoseverfahren stw Simulation stw Support Vector Machine stw Theorie stw USA stw Wechselkurs stw Foreign exchange market Foreign exchange market Computer simulation Foreign exchange market Forecasting Hedging (Finance) Hedging (Finance) Computer simulation Hedging (Finance) Forecasting Entscheidungsfindung (DE-588)4113446-1 gnd Künstliche Intelligenz (DE-588)4033447-8 gnd Devisenmarkt (DE-588)4139011-8 gnd Hedging (DE-588)4123357-8 gnd Kursprognose (DE-588)4418886-9 gnd |
| topic_facet | Devisenmarkt - Kursprognose - Hedging - Entscheidungsfindung - Künstliche Intelligenz Devisenmarkt EU-Staaten Hedging Komplexe Systeme Prognoseverfahren Simulation Support Vector Machine Theorie USA Wechselkurs Foreign exchange market Foreign exchange market Computer simulation Foreign exchange market Forecasting Hedging (Finance) Hedging (Finance) Computer simulation Hedging (Finance) Forecasting Entscheidungsfindung Künstliche Intelligenz Kursprognose Hochschulschrift |
| url | http://deposit.dnb.de/cgi-bin/dokserv?id=3239841&prov=M&dok_var=1&dok_ext=htm http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=017637041&sequence=000001&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA |
| volume_link | (DE-604)BV000000036 |
| work_keys_str_mv | AT ullrichchristian forecastingandhedgingintheforeignexchangemarkets |