Speculation on currency derivatives – the case of option and futures contract on Polish market

Aleksandra Rutkowska , Jakub Morkowski


The 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.
Author Aleksandra Rutkowska (WIiGE / KMS)
Aleksandra Rutkowska,,
- Department of Applied Mathematics
, Jakub Morkowski (WIiGE / KMS)
Jakub Morkowski,,
- Department of Applied Mathematics
Journal seriesVestnik Moskovskogo Universiteta. Seriâ 26, Gosudarstvennyj audit, ISSN 2413-631X, (0 pkt)
Issue year2019
Publication size in sheets0.5
ConferenceInternational Student and Young Scientist conference Carpe Scientiam (Carpe Scientiam 2018), 12-11-2018 - 16-11-2018, Moskwa, Rosja
Keywords in Polishrynek walutowy, instrumenty pochodne, sieć neuronowa
Keywords in Englishforeign exchange market, derivatives, neural network
Languageen angielski
Score (nominal)5
Score sourcejournalList
ScoreMinisterial score = 5.0, 20-04-2020, ArticleFromJournal
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