Dynamics of Exchange Rates and Oil Price: Adaptive Analysis and Forecasting
- 10.2991/aebmr.k.200509.042How to use a DOI?
- forecasting, currency quotations, oil price, modified and adaptive correlation coefficients, ARIMA, TBATS, neural networks
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.
- © 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/).
Cite this article
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 -