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2 International Journal of Applied Mathematics and Computer Science

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

Brdyś M. A., Brdyś M. T., Maciejewski S. M.

International Journal of Applied Mathematics and Computer Science

2016

Vol. 26, no. 1

161--173

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.

Adaptive prediction of stock exchange indices by state space wavelet networks

Brdyś M. A., Borowa A., Idźkowiak P., Brdyś M. T.

International Journal of Applied Mathematics and Computer Science

2009

Vol. 19, no 2

337-348

The paper considers the forecasting of the Warsaw Stock Exchange price index WIG20 by applying a state space wavelet network model of the index price. The approach can be applied to the development of tools for predicting changes of other economic indicators, especially stock exchange indices. The paper presents a general state space wavelet network model and the underlying principles. The model is applied to produce one session ahead and five sessions ahead adaptive predictors of the WIG20 index prices. The predictors are validated based on real data records to produce promising results. The state space wavelet network model may also be used as a forecasting tool for a wide range of economic and non-economic indicators, such as goods and row materials prices, electricity/fuel consumption or currency exchange rates.