Foreign exchange market is the largest financial market in the world and thus prediction of foreign exchange rate values is of interest to millions of people. In this research, I evaluated the performance of Long Short Term Memory (LSTM), Gated Recurrent Unit (GRU), Autoregressive Integrated Moving Average (ARIMA) and Moving Average (MA) on the USD/CAD and USD/AUD exchange pairs for 1-day, 1-week and 2-weeks predictions. For LSTM and GRU, twelve macroeconomic indicators along with past exchange rate values were used as features using data from January 2001 to December 2019. Predictions from each model were then integrated with uncertainty modeling to find out the chance of a model’s prediction being greater than or less than a user-defined target value using the error distribution from the test dataset, Monte-Carlo simulation trials and ChancCalc excel add-in. Results showed that ARIMA performs slightly better than LSTM and GRU for 1-day predictions for both USD/CAD and USD/AUD exchange pairs. However, when the period is increased to 1-week and 2-weeks, LSTM and GRU outperform both ARIMA and moving average for both USD/CAD and USD/AUD exchange pair.

The subject of this diploma thesis is a design and implementation of an automated trading system for the forex market. It includes an analysis of the main concepts and methods of technical analysis and money management, which constitute an essential theoretical basis for the subsequent practical design of an automatic system. The objective of this work is a development of an automated trading system whose robustness and stability is tested by a walk forward analysis.

[pt] Desvios de Paridade Coberta da Taxa de Juros (CIP) têm sido amplos e persistentes, entre economias do G10, desde a crise financeira mundial de 2008. Uma das explicações para a quebra na relação de paridade (CIP) são as novas regulações bancárias que surgiram no período pós-crise. Por outro lado, desvios de CIP na economia brasileira têm sido associados ao índice EMBI+, que é uma medida de risco país, tal como em Garcia and Didier (2003). A partir da literatura recente sobre desvios de CIP (i.e., a currency basis) entre as economias do G10, eu mostro a evolução recente da cross-currency basis para essas economias, durante a pandemia de 2020, e então eu estudo os determinantes macroeconômicos e regulatórios da basis do Real. Usando a estratégia empírica de Cerutti et al (2021), eu encontro que o bid-ask spread (medida de liquidez) do dólar futuro tem um efeito proeminente. Em uma abordagem de diferença-em-diferenças, eu encontro que a basis brasileira sobe aos finais de trimestres, coincidindo com o período em que os contratos futuros aparecem no balanço patrimonial dos bancos. Tal evidência sugere um efeito causal de regulação bancária na currency basis, em linha com Du, Tepper and Verdelhan (2018). / [en] Covered Interest Parity deviations (CIP) have been large and persistent among G10 currencies since the global financial crisis in 2008. One of the explanations for the CIP condition breakdown are the new banking regulations that arose in the post-crisis period. On the other hand, CIP deviations for the Brazilian economy have been associated with the EMBI+ index, which is a measure of country risk, as in Garcia and Didier (2003). Building on the recent literature on Covered Interest Parity deviations (i.e, the currency basis) among G10 currencies, I show the recent evolution of the cross-currency basis for the G10 economies, during the 2020 pandemic crisis, and then I study the macroeconomic and regulatory drivers of the Brazilian currency basis. Using the regression approach of Cerutti et al (2021), I find that the FX bid-ask spread has a prominent effect on the real/dollar basis. Using a difference-in-differences approach, I find that the Brazilian currency basis rises at quarter-ends, which is the period when forward contracts appear on banks balance sheets. This points to a causal effect of banking regulation on the currency basis, in line with Du, Tepper and Verdelhan (2018).

This dissertation studies the role of sterling during the Bretton Woods period (1944-1971). The Bretton Woods system has often been described as a dollar system with sterling having lost its relevance as reserve currency. However, despite being a secondary reserve currency and having lost importance, sterling was the 'first line of defence for the dollar' as contemporaries put it. They frequently stressed the fact that a sterling crisis would have consequences on the stability of the Bretton Woods system but economic historians have never tested this empirically. This dissertation argues that sterling played an important role in the stability of the international monetary system. Foreign exchange market participants globally monitored sterling and US policymaker stepped in to avoid devaluation of the British currency. US support to sterling was mainly due to the fear of a British devaluation, which could trigger a run on the dollar. When the UK finally devalued the pound in 1967, it marked the beginning of an instable period for the international monetary system. The Gold Pool, a syndicate to defend the US gold parity, collapsed in 1968 and this prefigured the end of the Bretton Woods system. This dissertation presents new data along with novel archival material from seven archives across continents to demonstrate how contagion from sterling to the dollar occurred. Modern econometric methods are used to analyse a new dataset with over 80,000 observations of offshore exchange rates, central bank intervention and reserves. This evidence shows that a secondary reserve currency can still play a key role in the stability of the international monetary system.

【第一篇論文中文摘要】 本文使用路透社央行干預匯市的新聞報導，探討哪些因素可以提高亞洲央行成功干預匯市的機率，研究期間為2005年1月至2011年4月。此研究期間涵蓋全球金融風暴和美國採行量化寬鬆政策，因此，亞洲貨幣在逐步對美元升值後發生大幅度的貶值。研究結果顯示印尼、馬來西亞、菲律賓、新加坡、台灣及泰國的央行採取逆風而行的策略是有效的干預方式，而且多個國家在同日干預匯市及第一日的干預會有較高成功的機率。 【第二篇論文中文摘要】 本文透過不同的研究方法針對亞洲國家央行干預匯率市場的有效性再次驗證，研究期間為2005年1月至2011年4月，實證結果顯示亞洲國家在次貸風暴期間面臨美元升值的壓力，央行會採取賣美元的方式來干預匯市，但是這種干預匯市的方式卻僅能減緩美元升值的趨勢，其中以印尼盾、新加坡元、新台幣紛紛對美元貶值較為明顯，而在次貸風暴發生之後，美國實施量化寬鬆政策造成亞洲國家卻面臨美元貶值的壓力，各國央行改採買美元的方式來干預匯市，但是此種干預匯市的方式也只造成美元緩慢貶值的趨勢，其中印尼盾、馬來西亞令吉、新加坡元、韓圜、泰銖分別對美元升值的趨勢較為明顯，此現象反應亞洲央行干預匯市是採取逆風而行的策略，雖然能降低匯率的波動，但無法改變匯率的升貶值趨勢。 【第三篇論文中文摘要】 本研究是在探討印度、印尼、南韓、馬來西亞、新加坡、泰國及台灣央行透過干預匯率市場，對其國家的公司在美國發行存託憑證折溢價的影響，研究期間為2005年1月至2011年4月。研究結果顯示央行對匯市干預造成的變動，確實會影響到該國公司在美國發行的存託憑證產生折價的情形。另外，亞洲央行使用買美元干預匯市的作法會對該國公司在美國發行的存託憑證產生溢價，而央行透過賣美元干預匯市的作法會對該國公司在美國發行的存託憑證產生折價的影響，但是由於樣本資料的限制，其效果在統計上並不顯著。由公司層面的分析可以看出央行透過賣美元來干預匯市對其國家的公司在美國發行的存託憑證會有明顯產生折價的影響。 / 【第一篇論文英文摘要】 Using Reuters’ news reports on central bank interventions, we investigate the factors that increase the odds of intervention success by Asian central banks in the foreign exchange market from January 2005 to April 2011. This period coincides with the global credit crisis and quantitative easing policy, which have engendered a sharp depreciation followed by a gradual appreciation of Asian currencies. The results show that leaning-against-the-wind intervention strategies are effective in Indonesia, Malaysia, Philippines, Singapore, Taiwan, and Thailand. We also find that joint and first day interventions are associated with higher odds of effective intervention. 【第二篇論文英文摘要】 This paper examines the effectiveness of central bank interventions in the foreign exchange market from January 2005 to April 2011 in Asia. The results show that the central banks in Asia intervene in the foreign exchange markets by selling U.S. dollars to prevent severe depreciation of local currencies during the global credit crisis. However, central bankers can only slow down the trend of depreciation of local currencies against U.S. dollar. The currencies apparently depreciate against U.S. dollar in Indonesia, Singapore, and Taiwan. After the global credit crisis, Asian countries confront appreciations of local currencies due to the US quantitative easing policy. The central banks in Asia intervene by purchasing U.S. dollars in the foreign exchange market. Nevertheless, intervention strategies slowly reduce U.S. dollar depreciations. The foreign exchange rate apparently appreciate against U.S. dollar in India, Malaysia, Singapore, South Korea, and Thailand. Results show that Asian central banks adopt leaning-against-the-wind intervention strategies during the sample period. Their interventions in the foreign exchange market can only reduce fluctuations in the foreign exchange rate, but fail to reverse the trend of Asian exchange rates. 【第三篇論文英文摘要】 This paper examines whether Asian central bank interventions in the foreign exchange market affect the discount or premium of American Depositary Receipt (ADR) of Asian companies from January 2005 to April 2011. The sample consists of companies from Indian, Indonesia, South Korea, Malaysia, Singapore. Empirical results show that central bank interventions increase ADR discounts of companies in Asian countries. In addition, interventions by purchasing U.S. dollars result in higher ADR premiums, and the strategies of selling U.S. dollars affect ADR discounts. Though some of the empirical results are not statistically significant due to limited sample size, results based on individual firms show that selling USD interventions by Asian central banks have a significant impact on their ADR discounts.

This dissertation thesis consists of three essays on new EU foreign exchange markets (FX), i.e. the Czech koruna, Polish zloty and Hungarian forint. In the first two essays, the impact of foreign macroeconomic news announcements and central banks' monetary policy settings on the value and volatility of examined exchange rates is analyzed. In the third chapter, the conditional comovements and volatility spillovers on new EU FX markets is examined. The aim of this thesis is to contribute to the existing empirical literature by providing new evidence of the examined currencies during periods, which have not been examined yet (after the Global financial crisis (GFC), during the EU debt crisis and during currency interventions in the Czech Republic). The first essay (Chapter 2) examines the impact of Eurozone/Germany and US macroeconomic news announcements and monetary policy settings of the ECB and the Fed on the value of new EU member states' currencies. It is a complex analysis of 1-minute intraday dataset performed by event study methodology (ESM). We observe different reactions of exchange rates in pair with the US dollar on the US macroeconomic announcements and Euro-expressed FX rates on Germany macro news during the EU debt crisis and after it. We also provide evidence of leaking news, showing...