Forecasting and Hedging in the Foreign Exchange Markets
The growing complexity of many real world problems is one of the biggest challenges of our time. The area of international finance is one prominent example where decision making is often fraud to mistakes, and tasks such as forecasting, trading and hedgin
- PDF / 2,886,306 Bytes
- 206 Pages / 439.37 x 666.142 pts Page_size
- 76 Downloads / 214 Views
Christian Ullrich
Forecasting and Hedging in the Foreign Exchange Markets
ABC
Dr. Christian Ullrich BMW AG Petuelring 130 80788 München Germany [email protected]
ISSN 0075-8442 ISBN 978-3-642-00494-0 e-ISBN 978-3-642-00495-7 DOI 10.1007/978-3-642-00495-7 Springer Dordrecht Heidelberg London New York Library of Congress Control Number: 2009926055 c Springer-Verlag Berlin Heidelberg 2009 This work is subject to copyright. All rights are reserved, whether the whole or part of the material is concerned, specifically the rights of translation, reprinting, reuse of illustrations, recitation, broadcasting, reproduction on microfilm or in any other way, and storage in data banks. Duplication of this publication or parts thereof is permitted only under the provisions of the German Copyright Law of September 9, 1965, in its current version, and permission for use must always be obtained from Springer. Violations are liable to prosecution under the German Copyright Law. The use of general descriptive names, registered names, trademarks, etc. in this publication does not imply, even in the absence of a specific statement, that such names are exempt from the relevant protective laws and regulations and therefore free for general use. Cover design: SPi Publisher Services Printed on acid-free paper Springer is part of Springer Science+Business Media (www.springer.com)
For Robin.
Foreword
Historical and recent developments at international financial markets show that it is easy to loose money, while it is difficult to predict future developments and optimize decision-making towards maximizing returns and minimizing risk. One of the reasons of our inability to make reliable predictions and to make optimal decisions is the growing complexity of the global economy. This is especially true for the foreign exchange market (FX market) which is considered as one of the largest and most liquid financial markets. Its grade of efficiency and its complexity is one of the starting points of this volume. From the high complexity of the FX market, Christian Ullrich deduces the necessity to use tools from machine learning and artificial intelligence, e.g., support vector machines, and to combine such methods with sophisticated financial modeling techniques. The suitability of this combination of ideas is demonstrated by an empirical study and by simulation. I am pleased to introduce this book to its audience, hoping that it will provide the reader with interesting ideas to support the understanding of FX markets and to help to improve risk management in difficult times. Moreover, I hope that its publication will stimulate further research to contribute to the solution of the many open questions in this area. Karlsruhe, January 2009
Detlef G. Seese
vii
Preface
The growing complexity of many real world problems is one of the biggest challenges of our time. The area of international finance is one prominent example where decision making is often fraud to mistakes, and tasks such as forecasting, trading and hedging exchange r
Data Loading...
