Определение арбитражных возможностей валютных пар и фьючерсов на данные валютные пары с разными сроками исполнения

Abstract

As an asset, we take the currency pairs and futures on these currency pairs. Next, we calculated measures of realized variation and square variation, allows us to evaluate spikes in the price within a day with different time intervals. And as we formulate and check a statistical hypothesis about the presence of at least one significant jump within the day and do a statistical test of hypotheses about the presence of jumps. We find the number of days with the award opportunities and determined the frequency distribution of magnitude of the jumps and their number on the considered time intervals. We calculated the average values of the jumps and determine the value of yields for each Issuer during the period under review and perform comparison to identify the most profitable investment of capital.