Statistical Analysis of the FOREX Time Series Based on the Random Walk Theory

Student: Kukhareva Mariya

Supervisor: Mikhail Tamm

Faculty: HSE Tikhonov Moscow Institute of Electronics and Mathematics (MIEM HSE)

Educational Programme: Mathematical Methods of Modelling and Computer Technologies (Master)

Final Grade: 8

Year of Graduation: 2017

This work is devoted to the study of time series of the FOREX market with the help of random walk methods. The main task of the work - to check that the probability distribution of the price increments for the FOREX time series converges to the Gaussian distribution with an increase of the time at which the increments are taken. We used FOREX time series for the euro-dollar currency pair as an example in this work. The tests were realized with the use of standard software, including MS Excel, SQL Server14 and Origin 8. The explanatory slip contains 39 pages and 30 pictures.

Full text (added May 14, 2017)

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