Open Access Te Herenga Waka-Victoria University of Wellington
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Analysis and Prediction of High Frequency Foreign Exchange Data

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posted on 2021-11-23, 12:01 authored by Kennedy, Adrian Patrick

This thesis investigates the stochastic properties of high frequency foreign exchange data. We study the exchange rate as a process driven by Brownian motion, paying particular attention to its sampled total variation, along with the variance and distribution of its increments. The normality of its increments is tested using the Khmaladze transformation-2, which we show is straightforward to implement for the case of testing centred normality. We found that while the process exhibits properties characteristic of Brownian motion, increments are non-Gaussian and instead come from mixture distributions. We also introduce a technical analysis trading strategy for predicting price movements, and employ it using the exchange rate dataset. This strategy is shown to offer a statistically significant advantage, and provides evidence that exchanges rates are predictable to a greater extent than current mathematical models suggest.

History

Copyright Date

2018-01-01

Date of Award

2018-01-01

Publisher

Te Herenga Waka—Victoria University of Wellington

Rights License

Author Retains Copyright

Degree Discipline

Statistics and Operations Research

Degree Grantor

Te Herenga Waka—Victoria University of Wellington

Degree Level

Masters

Degree Name

Master of Science

ANZSRC Type Of Activity code

970101 Expanding Knowledge in the Mathematical Sciences

Victoria University of Wellington Item Type

Awarded Research Masters Thesis

Language

en_NZ

Victoria University of Wellington School

School of Mathematics and Statistics

Advisors

Khmaladze, Estate