Forecasting Foreign Exchange Rate Movements with k-Nearest-Neighbour, Ridge Regression and Feed-Forward Neural Networks

2017 ◽  
Author(s):  
Milan Fiiura
Keyword(s):  
Neural Networks ◽  
Exchange Rate ◽  
Foreign Exchange ◽  
Ridge Regression ◽  
Foreign Exchange Rate ◽  
Nearest Neighbour ◽  
Feed Forward ◽  
Exchange Rate Movements ◽  
Feed Forward Neural Networks

scholarly journals Monetary Policy vs. Foreign Exchange Rate: A Statistical Analysis

2011 ◽  
Vol 5 (11) ◽  
Author(s):  
Tyler T. Yu ◽  
Miranda M. Zhang
Keyword(s):  
Monetary Policy ◽  
Exchange Rate ◽  
Money Supply ◽  
Foreign Exchange ◽  
Hypothesis Test ◽  
Time Lag ◽  
Correlation Coefficients ◽  
Foreign Exchange Rate ◽  
Exchange Rate Movements ◽  
The Impact

The purpose of this paper is to examine the economic impact of the Feds rate cuts on foreign exchange movements. Using secondary data, the paper estimates the lagged effects of the changes in money supply due to the rate cuts on the foreign exchange rates between the US dollar and the Japanese Yen ($/), British Pounds ($/), and the euro ($/), respectively. Since the impact of monetary policy tends to have a time lag, as suggested by Hall and Taylor, the study segments the measurements in six months intervals (6 months form the cut, 12 months from the cut, 18 months from the cut and 24 months from the cut). The relationship between the changes in money supply and potential impact on foreign exchange rate movements will be investigated using the Pearson Product-Moment Correlation coefficients (PPMCC) as well as Spearmans Rank Correlation coefficients (SRCC, the nonparametric alternative to the PPMCC). Then, a hypothesis test will be conducted to determine whether the correlation between the Federal Reserves stimulating monetary policy and foreign exchange rate movements is significant.

scholarly journals Random walk or a run. Market microstructure analysis of foreign exchange rate movements based on conditional probability

2012 ◽  
Vol 12 (6) ◽  
pp. 893-905 ◽  
Author(s):  
Yuko Hashimoto ◽  
Takatoshi Ito ◽  
Takaaki Ohnishi ◽  
Misako Takayasu ◽  
Hideki Takayasu ◽  
...  
Keyword(s):  
Exchange Rate ◽  
Random Walk ◽  
Conditional Probability ◽  
Foreign Exchange ◽  
Market Microstructure ◽  
Foreign Exchange Rate ◽  
Microstructure Analysis ◽  
Exchange Rate Movements
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