Using technical analysis indicators in the terms of currency hedging

Result code in IS VaVaI
<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F61989100%3A27510%2F12%3A86083152" target="_blank" >RIV/61989100:27510/12:86083152 - isvavai.cz</a>
Result on the web
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DOI - Digital Object Identifier
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Result language
angličtina
Original language name
Using technical analysis indicators in the terms of currency hedging
Original language description
Static hedging methods used just plain vanilla derivates and their combinations with no revision during hedged period. As hybrid hedging methods is considered using indicators of technical analysis for prediction of spot price in future and on the basisof this prediction it is decided between hedge company portfolio or stay unhedged. For prediction are used these indicators: moving average, Relative Strength Index and Stochastic. Main goal of this work is to use technical analysis indicators for prediction currency pair value and on the basis of this prediction get positive part of risk. Effects of this strategy to cash flow of one hedged crown are tested on 11 years long time series of CZK/EUR currency pair. Starting days of historical testing are changed severa times due to providing better information. It helps us to find out hit ratio of this method. Further testing is advised.
Czech name
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Czech description
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Publication year
2012
Confidentiality
S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů

Article name in the collection
Proceedings of 30th International Conference Mathematical Methods in Economics : 11-13 September 2012, Karviná, Czech Republic
ISBN
978-80-7248-779-0
ISSN
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e-ISSN
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Number of pages
6
Pages from-to
432-437
Publisher name
Slezská univerzita v Opavě
Place of publication
Opava
Event location
Karviná
Event date
Sep 11, 2012
Type of event by nationality
EUR - Evropská akce
UT code for WoS article
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