FX and Equity Market Forecasting via Signal Denoising

Student: Kovalenko Viktoriia

Supervisor: Vladimir R. Evstigneev

Faculty: Faculty of World Economy and International Affairs

Educational Programme: World Economy (Bachelor)

Final Grade: 9

Year of Graduation: 2017

The key subject of this paper is the Fredholm integral equation of the first kind. The work focuses on its potential for analysis and forecasting forex market to be used as an alternative to Fokker-Planck differential operator. We develop a comprehensive algorithm, which allows to link the integral kernel with the parameters of a given probability density function. Besides, we carry out an extensive empirical research on implementation of our forecasting algorithm for the dollar-euro currency pair. Decision-making, based on the developed trading rule, has shown an increasing return on the virtual portfolio, demonstrating its success in trading simulation.

Full text (added May 10, 2017)

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