An analysis on the trend predictability of the US dollar- Philippine peso exchange rates : impact on market efficiency

• Main Authors: De Leon, Ramon., Deyto, Michael B., Gatmaitan, Julian S., Salvador, David S.
• Format: text
• Language: English
• Published: Animo Repository 2016
• Subjects: Foreign exchange rates > Philippines
• Online Access: https://animorepository.dlsu.edu.ph/etd_bachelors/7756
• Institution: De La Salle University

Predictability of foreign exchange rate market in the Philippines have not yet been fully explored. In the study, the researchers utilized Hurst exponent in obtaining the US-PHP exchange rate trends. The Hurst exponent is a statistical tool used to classify time series. H=0.5 indicates a random se...