Forecasting of Bank Liquidity

Student: Sokolov Dmitriy

Educational Programme: Economics (Bachelor)

Year of Graduation: 2016

This research illustrates application of Wavelet theory as a possible tool for the purpose of forecasting liquidity outflows for a commercial bank. The paper provides a short introduction to Fourier Decomposition with a smooth transition to wavelets explaining the essence of a theory. Literature review justifies the choice of methods and presents the most recent scientific papers on wavelet theory in economics and finance and reveals advantages and disadvantages of its applications. Data on European and US banks’ liabilities dynamics for 3 years is used for analysis with consequent consideration of single corporate clients. The hypothesis on liabilities outflows dynamics is set and checked against the time series. The summary part of this paper presents the results anticipated.

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