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  • Statistical Analysis of Extreme Outliers in Currency Exchange Rates Based on Information Systems of Russian Banks

Statistical Analysis of Extreme Outliers in Currency Exchange Rates Based on Information Systems of Russian Banks

Student: Isaev Anton

Supervisor: Efim Pelinovsky

Faculty: Faculty of Informatics, Mathematics, and Computer Science (HSE Nizhny Novgorod)

Educational Programme: Business Informatics (Bachelor)

Year of Graduation: 2018

The study is devoted to the analysis of extreme outliers in exchange rates of foreign exchange in Russia. The work conducts a statistical assessment of the behavior of financial time series for the period from 01.01.2007 to 13.03.2018. Spectral and correlation analysis is also performed for the selected time interval. The results allow determining the presence of extreme outliers in the ruble-dollar currency pair exchange rates for the specified period and their influence on the behavior of the financial time series after their appearance.

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