ARIMA Modeling and Simulation of Currency Pairs
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Typ
Examensarbete för masterexamen
Master Thesis
Master Thesis
Program
Engineering mathematics and computational science (MPENM), MSc
Publicerad
2014
Författare
Berndtsson, Kristina
Modellbyggare
Tidskriftstitel
ISSN
Volymtitel
Utgivare
Sammanfattning
In this thesis the currency pairs USDCHF, EURUSD and EURSEK are examined. The aim is to develop a model that describes the pairs in a gratifying way. This has been done with an ARIMA model, the decision on this model was made after studying the stationarity or lack there of, of the currency pairs. Further more the model are used to develop strategies for trading the currencies, when the signals to buy or sell should be red. The model is also used to simulate values of the currency pairs. The coefficients of the model are simulated via a copula simulation.
Beskrivning
Ämne/nyckelord
Matematik , Mathematics