29 research outputs found
Comprehensive Analysis of Market Conditions in the Foreign Exchange Market: Fluctuation Scaling and Variance-Covariance Matrix
We investigate quotation and transaction activities in the foreign exchange
market for every week during the period of June 2007 to December 2010. A
scaling relationship between the mean values of number of quotations (or number
of transactions) for various currency pairs and the corresponding standard
deviations holds for a majority of the weeks. However, the scaling breaks in
some time intervals, which is related to the emergence of market shocks. There
is a monotonous relationship between values of scaling indices and global
averages of currency pair cross-correlations when both quantities are observed
for various window lengths .Comment: 13 pages, 10 figure
Utilization for forecasting activity of time range predictors type neural network
W pracy przedstawiono rozważania dotyczące zastosowania sztucznych sieci neuronowych do prognozowania zjawisk gospodarczych opisanych za pomocą krótkich szeregów czasowych. W pierwszej części artykułu przedstawiono krótką charakterystykę sztucznych sieci neuronowych wraz z możliwymi obszarami prognozowania ekonomicznego, w których mogą znaleźć zastosowanie. W drugiej części artykułu przeprowadzono ocenę efektywności predykcji wybranego zjawiska za pomocą sztucznych sieci neuronowych.This article presents consideration for forecasting activity of economic phenomenon described behind assistance of short time range concerning employment artificial neural network. It presents short characteristic of artificial neural network in first along with possible areas of economic forecasting activities, can find application. The second part of the paper includes an estimation of efficiency of selected economic phenomenon with an application of artificial neural networks
Analysis of a network structure of the foreign currency exchange market
Foreign exchange market, Correlation matrix, Networks, Minimal spanning tree,