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Modelling regime shifts for foreign exchange market data using hidden Markov models
KTH, School of Engineering Sciences (SCI), Mathematics (Dept.), Mathematics (Div.).
2021 (English)Independent thesis Advanced level (degree of Master (Two Years)), 20 credits / 30 HE creditsStudent thesisAlternative title
Modellering av regimskiften för valutamarknadsdata genom dolda Markovkedjor (Swedish)
Abstract [en]

Financial data is often said to follow different market regimes. These regimes, which not possible to observe directly, are assumed to influence the observable returns. In this thesis such regimes are modeled using hidden Markov models. We will investigate whether the five different currency pairs EUR/NOK, USD/NOK, EUR/USD, EUR/SEK, and USD/SEK exhibit market regimes that can be described using hidden Markov modeling. We will find the most optimal number of states and study the mean, variance, and correlations in each market regime.

Abstract [sv]

Finansiella data sägs ofta följa olika marknadsregimer. Dessa marknadsregimer kan inte observeras direkt men antas ha inflytande på de observerade avkastningarna. I denna uppsats undersöks om de fem valutaparen EUR/NOK, USD/NOK, EUR/USD, EUR/SEK och USD/SEK tycks följa separata marknadsregimer som kan detekteras med hjälp av en dold Markovkedja.

Place, publisher, year, edition, pages
2021. , p. 44
Series
TRITA-SCI-GRU ; 2021:205
Keywords [en]
exchange market data, model selection, hidden Markov model, market regime, correlation
Keywords [sv]
valuta, modellval, dold Markovmodell, marknadsregimer, korrelation
National Category
Other Mathematics
Identifiers
URN: urn:nbn:se:kth:diva-313299OAI: oai:DiVA.org:kth-313299DiVA, id: diva2:1663240
External cooperation
Skandinaviska Enskilda Banken (SEB)
Subject / course
Financial Mathematics
Educational program
Master of Science - Mathematics
Supervisors
Examiners
Available from: 2022-06-02 Created: 2022-06-02 Last updated: 2022-06-25Bibliographically approved

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CiteExportLink to record
Permanent link

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Cite
Citation style
  • apa
  • ieee
  • modern-language-association-8th-edition
  • vancouver
  • Other style
More styles
Language
  • de-DE
  • en-GB
  • en-US
  • fi-FI
  • nn-NO
  • nn-NB
  • sv-SE
  • Other locale
More languages
Output format
  • html
  • text
  • asciidoc
  • rtf