Обнаружение статистически значимых скачков цен валютных пар и котировок нефти марки Brent при внутридневной

Abstract

In this work, for the currency pair EUR/USD and crude oil Brent identify intraday jumps, using statistical methodology, the estimated number of hops, which allows to identify arbitrage opportunities, testable statistical hypotheses about the presence of abrupt changes within the trading days in the calculations for time intervals of different lengths, the calculated average jumps, average yields and real rates of return over the sample period. And as we perform the comparison on the most profitable investment between the currency pair Euro/Dollar and Brent.