Abstract In this report analysis of foreign exchange rates time series are performed. First, triangular arbitrage is detected and eliminated from data series using linear algebra tools. Then Vector Autoregressive processes are calibrated and used to replicate dynamics of exchange rates as well as to forecast time series. Finally, optimal portfolio of currencies with minimal Expected Shortfall is formed using one time period ahead forecasts
| Identifer | oai:union.ndltd.org:UPSALLA1/oai:DiVA.org:kth-94180 |
| Date | January 2012 |
| Creators | Serpeka, Rokas |
| Publisher | KTH, Matematik (Inst.) |
| Source Sets | DiVA Archive at Upsalla University |
| Language | English |
| Detected Language | English |
| Type | Student thesis, info:eu-repo/semantics/bachelorThesis, text |
| Format | application/pdf |
| Rights | info:eu-repo/semantics/openAccess |
| Relation | Trita-MAT, 1401-2286 ; 13 |
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