Speculation on currency derivatives – the case of option and futures contract on Polish market
Aleksandra Rutkowska , Jakub Morkowski
AbstractThe aim of the paper is to present the investment possibilities of currency derivatives. For analysis we choose option and future contracts in order to check whether derivatives with symmetrical or asymmetrical risk profiles are more effective in terms of profits. The study was carried out for 5 currency pairs EUR/PLN, USD/PLN, GBP/PLN, CHF/PLN and JPY/PLN. To predict currencies’ market moves, we use two approach: technical analysis (TA) and neural network (NN). The strategies are tested using the one month for out-of-sample testing.
|Journal series||Vestnik Moskovskogo Universiteta. Seriâ 26, Gosudarstvennyj audit, ISSN 2413-631X, (0 pkt)|
|Publication size in sheets||0.5|
|Conference||International Student and Young Scientist conference Carpe Scientiam (Carpe Scientiam 2018), 12-11-2018 - 16-11-2018, Moskwa, Rosja|
|Keywords in Polish||rynek walutowy, instrumenty pochodne, sieć neuronowa|
|Keywords in English||foreign exchange market, derivatives, neural network|
|Score||= 5.0, 20-04-2020, ArticleFromJournal|
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