High-frequency Markov switching models in the foreign exchange market

Article Abstract:

An investigation is presented into the profitability of following forecasts resulting from two-state Markov models for three daily exchange rate series. Amongst conclusions drawn are that Markov models approximate the data well but are unstable and therefore currently unsuitable for forecasting.

Forecasting, Forecasts and trends, Foreign exchange, Markov processes, Business forecasting

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Conditional density and value-at-risk prediction of Asian Current Exchange rates

Article Abstract:

Research is presented describing the study of financial forecasting techniques to predict outcome rate for the Asian currency exchange.

Financial analysis, Foreign exchange market

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Forecasting time-dependent conditional densities: a semi-non-parametric neural network approach

Article Abstract:

Research is presented describing the use of neural networks to forecast asset returns for conditional densities.

Computer networks, Neural networks, Asset-backed securities, Asset backed securities

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