Study of the periodicity in Euro-US Dollar exchange rates using local alignment and random matrixesстатья
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Дата последнего поиска статьи во внешних источниках: 28 февраля 2018 г.
Аннотация:The purpose of this study was to detect latent periodicity in the presence of
deletions or insertions in the analyzed data, when the points of deletions or insertions are
unknown. A mathematical method was developed to search for periodicity in the numerical
series, using dynamic programming and random matrices. The developed method was
applied to search for periodicity in the Euro/Dollar (Eu/$) exchange rate. Period length equal
to 24 and 25 h were found. The reasons for the existence of the periodicity in the financial
time series are discussed. The results can find application in computer systems, for the
purpose of forecasting exchange rates.