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Empirical modelling of high-frequency foreign exchange rates
Includes bibliographical references (leaves 213-219).
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| Other Authors: | |
| Format: | Thesis |
| Language: | English |
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Department of Mathematics and Applied Mathematics
2014
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| _version_ | 1867613225256747008 |
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| access_status_str | Open Access |
| author | Packirisamy, Someshini |
| author2 | Guo, Renkuan |
| author_browse | Guo, Renkuan Packirisamy, Someshini |
| author_facet | Guo, Renkuan Packirisamy, Someshini |
| author_sort | Packirisamy, Someshini |
| collection | Thesis |
| description | Includes bibliographical references (leaves 213-219). |
| format | Thesis |
| id | oai:open.uct.ac.za:11427/5963 |
| institution | University of Cape Town (South Africa) |
| language | eng |
| last_indexed | 2026-06-10T12:32:45.765Z |
| license_str | Not specified — see source repository |
| provenance_str_mv | Harvested via OAI-PMH from UCTD — University of Cape Town Open Access Repository |
| publishDate | 2014 |
| publishDateRange | 2014 |
| publishDateSort | 2014 |
| publisher | Department of Mathematics and Applied Mathematics |
| publisherStr | Department of Mathematics and Applied Mathematics |
| record_format | dspace |
| source_str | UCTD — University of Cape Town Open Access Repository |
| spelling | oai:open.uct.ac.za:11427/5963 Empirical modelling of high-frequency foreign exchange rates Packirisamy, Someshini Guo, Renkuan Mathematics of Finance Includes bibliographical references (leaves 213-219). There is a wealth of information available on modelling foreign exchange time series data, however, research studies on modelling and predicting high frequency foreign exchange data is less prominent. Furthermore, there does not appear to be much evidence supporting work on the modelling and prediction of high frequency South African Rand/United States Dollar (ZAR/USD) exchange rates. A fair amount of noise is embedded in high frequency time series data, especially the ZAR/USD exchange rates, and the modelling of these time series requires the use of specialized models. In addition, lengthy high frequency foreign exchange data is largely unavailable for the South African market. This dissertation undertakes empirical explorations to model high frequency foreign exchange time series (primarily the ZAR/USD time series), through the use of multi-agent neural networks, linear Kalman filters and fuzzy Markov chain theory. 2014-08-02T14:48:03Z 2014-08-02T14:48:03Z 2004 Master Thesis Masters MSc http://hdl.handle.net/11427/5963 eng application/pdf Department of Mathematics and Applied Mathematics Faculty of Science University of Cape Town |
| spellingShingle | Mathematics of Finance Packirisamy, Someshini Empirical modelling of high-frequency foreign exchange rates |
| thesis_degree_str | Master's |
| title | Empirical modelling of high-frequency foreign exchange rates |
| title_full | Empirical modelling of high-frequency foreign exchange rates |
| title_fullStr | Empirical modelling of high-frequency foreign exchange rates |
| title_full_unstemmed | Empirical modelling of high-frequency foreign exchange rates |
| title_short | Empirical modelling of high-frequency foreign exchange rates |
| title_sort | empirical modelling of high frequency foreign exchange rates |
| topic | Mathematics of Finance |
| url | http://hdl.handle.net/11427/5963 |
| work_keys_str_mv | AT packirisamysomeshini empiricalmodellingofhighfrequencyforeignexchangerates |