In English

ARIMA Modeling and Simulation of Currency Pairs

Kristina Berndtsson
Göteborg : Chalmers tekniska högskola, 2014.
[Examensarbete på avancerad nivå]

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.

Publikationen registrerades 2014-12-03. Den ändrades senast 2014-12-04

CPL ID: 207269

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