Assessing Volatility Behaviors of Cross-Currency Derivatives in India's Exchange Markets Using Machine Learning Algorithms

Assessing Volatility Behaviors of Cross-Currency Derivatives in India's Exchange Markets Using Machine Learning Algorithms

Currency Derivatives are very important financial instruments for speculation, hedging and arbitrage opportunities, and among them cross-country futures are one of the important types with a huge research gap. Studying them becomes very imperative. This paper studies the volatility of INR based cros...

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Bibliographic Details
Main Authors: Aman Shreevastava, Bharat Kumar Meher, Virgil Popescu, Ramona Birau, Mritunjay Mahato
Format: Article
Language:English
Published: Dunarea de Jos University of Galati 2024-12-01
Series:Annals of Dunarea de Jos University. Fascicle I : Economics and Applied Informatics
Subjects:
cross-currency derivatives
futures
machine learning (ml) algorithms
lstm
volatility
neural network
forecasting
Online Access:http://eia.feaa.ugal.ro/images/eia/2024_3/Shreevastava_et_al.pdf
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http://eia.feaa.ugal.ro/images/eia/2024_3/Shreevastava_et_al.pdf

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