Using technical analysis indicators in the terms of currency hedging

Kód výsledku v IS VaVaI

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Výsledek na webu

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DOI - Digital Object Identifier

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Jazyk výsledku

angličtina

Název v původním jazyce

Using technical analysis indicators in the terms of currency hedging

Popis výsledku v původním jazyce

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.

Název v anglickém jazyce

Using technical analysis indicators in the terms of currency hedging

Popis výsledku anglicky

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.

Druh

D - Stať ve sborníku

CEP obor

AH - Ekonomie

OECD FORD obor

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Projekt

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Návaznosti

S - Specificky vyzkum na vysokych skolach

Rok uplatnění

2012

Kód důvěrnosti údajů

S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů

Název statě ve sborníku

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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Počet stran výsledku

6

Strana od-do

432-437

Název nakladatele

Slezská univerzita v Opavě

Místo vydání

Opava

Místo konání akce

Karviná

Datum konání akce

11. 9. 2012

Typ akce podle státní příslušnosti

EUR - Evropská akce

Kód UT WoS článku

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