Adaptive predictions of the euro/złoty currency exchange rate using state space wavelet networks and forecast combinations

• Autorzy: Brdyś M. A. , Brdyś M. T. , Maciejewski S. M.

Identyfikatory

DOI

10.1515/amcs-2016-0011

• Języki publikacji: EN

Abstrakty

EN

The paper considers the forecasting of the euro/Polish złoty (EUR/PLN) spot exchange rate by applying state space wavelet network and econometric forecast combination models. Both prediction methods are applied to produce one-trading-day-ahead forecasts of the EUR/PLN exchange rate. The paper presents the general state space wavelet network and forecast combination models as well as their underlying principles. The state space wavelet network model is, in contrast to econometric forecast combinations, a non-parametric prediction technique which does not make any distributional assumptions regarding the underlying input variables. Both methods can be used as forecasting tools in portfolio investment management, asset valuation, IT security and integrated business risk intelligence in volatile market conditions.

Słowa kluczowe

EN

currency exchange rate; artificial intelligence; state space wavelet network; Metropolis Monte Carlo; forecast combinations; data generating process

PL

kurs wymiany walut; sztuczna inteligencja; sieć falkowa

• Wydawca: Oficyna Wydawnicza Uniwersytetu Zielonogórskiego
• Czasopismo: International Journal of Applied Mathematics and Computer Science
• Rocznik: 2016
• Tom: Vol. 26, no. 1
• Strony: 161--173
• Opis fizyczny: Bibliogr. 31 poz., rys., tab., wykr.

Twórcy

autor

Brdyś M. A.

• Department of Control Systems Engineering, Gdańsk University of Technology, ul. Narutowicza 11/12, 80-952 Gdańsk, Poland; Department of Electronic, Electrical and Systems Engineering, University of Birmingham, Edgbaston, Birmingham B15 2TT, UK

autor

Brdyś M. T.

• Department of Control Systems Engineering, Gdańsk University of Technology, ul. Narutowicza 11/12, 80-952 Gdańsk, Poland

autor

Maciejewski S. M.

• PGE Polish Energy Group, ul. Mysia 2, 00-496 Warsaw, Poland

Bibliografia

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Uwagi

Opracowanie ze środków MNiSW w ramach umowy 812/P-DUN/2016 na działalność upowszechniającą naukę.