 |
| forecasting & hedging in FX markets |
The growing complexity of many real world
problems is one of the biggest challenges of our time. The area of
international finance is one prominent example where decision making is often
fraud to mistakes, and tasks such as forecasting, trading and hedging exchange
rates seem to be too difficult to expect correct or at least adequate
decisions. From the high complexity of the foreign exchange market and related
decision problems, the author derives the necessity to use tools from Machine
Learning and Artificial Intelligence, e.g. Support Vector Machines, and to
combine such methods with sophisticated financial modelling techniques. The
suitability of this combination of ideas is demonstrated by an empirical study
and by simulation.