Dynamics of Exchange Rates and Oil Price: Adaptive Analysis and Forecasting

DOI

10.2991/aebmr.k.200509.042How to use a DOI?

Keywords

forecasting, currency quotations, oil price, modified and adaptive correlation coefficients, ARIMA, TBATS, neural networks

Abstract

Multivariate generalizations of the modified and adaptive time series correlation coefficients are obtained using the example of the dependence of currency pairs quotations and Brent crude oil price. The analysis of the movement of exchange rates and oil price in the R software environment. A much more detailed data analysis than the classical theory suggestion is obtained. Based on the identified trends in the dynamics of these markets, short-term forecasting was carried out using ARIMA, TBATS models and neural networks.

Copyright

© 2020, the Authors. Published by Atlantis Press.

Open Access

This is an open access article distributed under the CC BY-NC license (http://creativecommons.org/licenses/by-nc/4.0/).

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TY  - CONF
AU  - L.K. Orlik
AU  - I.F. Khasanova
PY  - 2020
DA  - 2020/05/12
TI  - Dynamics of Exchange Rates and Oil Price: Adaptive Analysis and Forecasting
BT  - Proceedings of the International Conference on Economics, Management and Technologies 2020 (ICEMT 2020)
PB  - Atlantis Press
SP  - 229
EP  - 234
SN  - 2352-5428
UR  - https://doi.org/10.2991/aebmr.k.200509.042
DO  - 10.2991/aebmr.k.200509.042
ID  - Orlik2020
ER  -