Reducing arbitrage risk by fuzzy regression based prediction of exchange rates for composite currencies.
Sabyasachi GhoshrayPublished in: CIFEr (1999)
Keyphrases
- exchange rate
- stock price
- financial time series
- risk aversion
- financial crisis
- foreign exchange
- financial markets
- portfolio optimization
- prediction accuracy
- short run
- fuzzy sets
- non stationary
- stock market
- minimum risk
- currency exchange
- fuzzy logic
- historical data
- prediction model
- stock exchange
- portfolio management
- early warning
- risk assessment
- prediction error
- risk management
- long run
- risk factors
- news articles
- membership functions
- fuzzy rules
- fuzzy numbers
- risk averse
- information retrieval
- data mining
- fuzzy clustering
- sufficient conditions
- chance constrained programming