A mixture of global and local gated experts for the prediction of high frequency foreign exchange rates

1998 ◽  
pp. 329-340
Author(s):  
D. Hoang ◽  
G. Williamson
Keyword(s):  
Exchange Rates ◽  
Foreign Exchange ◽  
High Frequency ◽  
Foreign Exchange Rates ◽  
Global And Local

scholarly journals Long memory in high frequency foreign exchange rates: Hurst exponents dependence on data aggregation

2010 ◽  
Vol 51 ◽  
Author(s):  
Milda Pranckevičiūtė
Keyword(s):  
Exchange Rates ◽  
Foreign Exchange ◽  
Data Aggregation ◽  
Long Memory ◽  
High Frequency ◽  
Foreign Exchange Rates ◽  
Maximum Price ◽  
The Us ◽  
Japanese Yen ◽  
Hurst Exponents

This paper presents the study on long memory in absolute daily returns of the US dollar versus euro, the British pound and the Japanese yen aggregated foreign exchange rates. Pointwise, maximum price, minimum price and average price aggregation rules for high frequency foreign exchange rates are introduced. The classical R/S statistic is used to analyze Hurst exponents dependence on the choice of data aggregation function.

scholarly journals Performance of technical indicators in forecasting high-frequency foreign exchange rates

2004 ◽  
Vol 52 (3) ◽  
pp. 157-166
Author(s):  
Václav Mastný
Keyword(s):  
Time Series ◽  
Exchange Rates ◽  
Foreign Exchange ◽  
High Frequency ◽  
Foreign Exchange Market ◽  
Technical Analysis ◽  
Foreign Exchange Rates ◽  
Exchange Market ◽  
Technical Indicators

This paper deals with technical analysis and its forecasting ability in the intradaily foreign exchange market. The objective of this study is to investigate whether technical indicators are able to provide prediction superior to „buy and hold“ strategy. Each indicator is tested with series of parameters in time series of different frequency (5, 15, 30, 60 min). The profitability of each indicator is examined in simple trading modell.

An Empirical Investigation of Factors Affecting Stock Prices in Vietnam

2014 ◽  
pp. 74-89 ◽  
Author(s):  
Vinh Vo Xuan
Keyword(s):  
Exchange Rates ◽  
Crude Oil ◽  
Foreign Exchange ◽  
Stock Prices ◽  
Global Financial Crisis ◽  
Oil Prices ◽  
Foreign Exchange Rates ◽  
Factors Affecting ◽  
Crude Oil Prices ◽  
Before And After

This paper investigates factors affecting Vietnam’s stock prices including US stock prices, foreign exchange rates, gold prices and crude oil prices. Using the daily data from 2005 to 2012, the results indicate that Vietnam’s stock prices are influenced by crude oil prices. In addition, Vietnam’s stock prices are also affected significantly by US stock prices, and foreign exchange rates over the period before the 2008 Global Financial Crisis. There is evidence that Vietnam’s stock prices are highly correlated with US stock prices, foreign exchange rates and gold prices for the same period. Furthermore, Vietnam’s stock prices were cointegrated with US stock prices both before and after the crisis, and with foreign exchange rates, gold prices and crude oil prices only during and after the crisis.

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