ARIMA Modeling and Simulation of Currency Pairs

dc.contributor.author	Berndtsson, Kristina
dc.contributor.department	Chalmers tekniska högskola / Institutionen för matematiska vetenskaper	sv
dc.contributor.department	Chalmers University of Technology / Department of Mathematical Sciences	en
dc.date.accessioned	2019-07-03T13:34:48Z
dc.date.available	2019-07-03T13:34:48Z
dc.date.issued	2014
dc.description.abstract	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.
dc.identifier.uri	https://hdl.handle.net/20.500.12380/207269
dc.language.iso	eng
dc.setspec.uppsok	PhysicsChemistryMaths
dc.subject	Matematik
dc.subject	Mathematics
dc.title	ARIMA Modeling and Simulation of Currency Pairs
dc.type.degree	Examensarbete för masterexamen	sv
dc.type.degree	Master Thesis	en
dc.type.uppsok	H
local.programme	Engineering mathematics and computational science (MPENM), MSc

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