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Abstract

  The methodologies applied in the simulation and control of financial markets has been a topic of interest in the last decade. Having a procedure that allows predicting and anticipating unwanted changes in financial variables leads to better decision-making, an aspect of deep interest within financial engineering, where with reliable forecasts better financial management and coverage of financial risk are achieved. more efficient. In the empirical work, through the analysis of macroeconomic indicators and the historical behavior of financial variables, a procedure is proposed that fulfills this task. The object of study is the foreign exchange market (FOREX) with the EUR/USD pair, seeking that the results of the investigation can be applied to the banking sector and provide information that can be linked and brings with it a better coverage of accounts by pay and collect in foreign currency.   Keywords: Signal extraction, macroeconomic indicators, foreign exchange market, exchange rate.