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  • About
  • The Global ETD Search service is a free service for researchers to find electronic theses and dissertations. This service is provided by the Networked Digital Library of Theses and Dissertations.
    Our metadata is collected from universities around the world. If you manage a university/consortium/country archive and want to be added, details can be found on the NDLTD website.

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Modelling regime shifts for foreign exchange market data using hidden Markov models / Modellering av regimskiften för valutamarknadsdata genom dolda Markovkedjor

Persson, Liam January 2021 (has links)
Financial data is often said to follow different market regimes. These regimes, which not possible to observe directly, are assumed to influence the observable returns. In this thesis such regimes are modeled using hidden Markov models. We will investigate whether the five different currency pairs EUR/NOK, USD/NOK, EUR/USD, EUR/SEK, and USD/SEK exhibit market regimes that can be described using hidden Markov modeling. We will find the most optimal number of states and study the mean, variance, and correlations in each market regime. / Finansiella data sägs ofta följa olika marknadsregimer. Dessa marknadsregimer kan inte observeras direkt men antas ha inflytande på de observerade avkastningarna. I denna uppsats undersöks om de fem valutaparen EUR/NOK, USD/NOK, EUR/USD, EUR/SEK och USD/SEK tycks följa separata marknadsregimer som kan detekteras med hjälp av en dold Markovkedja.
exchange market data
model selection
hidden Markov model
market regime
correlation
valuta
modellval
dold Markovmodell
marknadsregimer
korrelation
Other Mathematics
Annan matematik

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