An Examination of the Short-Term and Long-Term Behavior of Foreign Exchange Rates

1996 ◽  
Vol 31 (3) ◽  
pp. 603-622 ◽  
Author(s):  
Ming-Shiun Pan ◽  
Y. Angela Liu ◽  
Hamid Bastin
Keyword(s):  
Exchange Rates ◽  
Foreign Exchange ◽  
Foreign Exchange Rates ◽  
Short Term ◽  
Long Term Behavior

An Application of Genetic Programming to Forecasting Foreign Exchange Rates

2010 ◽  
pp. 26-48
Author(s):  
Muneer Buckley ◽  
Zbigniew Michalewicz ◽  
Ralf Zurbruegg
Keyword(s):  
Exchange Rate ◽  
Genetic Programming ◽  
Exchange Rates ◽  
Foreign Exchange ◽  
Economic Model ◽  
Dynamic Environments ◽  
Foreign Exchange Rates ◽  
Better Than ◽  
Made In

There is a great need for accurate predictions of foreign exchange rates. Many industries participate in foreign exchange scenarios with little idea where the exchange rate is moving, and what the optimum decision to make at any given time is. Although current economic models do exist for this purpose, improvements could be made in both their flexibility and adaptability. This provides much room for models that do not suffer from such constraints. This chapter proposes the use of a genetic program (GP) to predict future foreign exchange rates. The GP is an extension of the DyFor GP tailored for forecasting in dynamic environments. The GP is tested on the Australian / US (AUD/USD) exchange rate and compared against a basic economic model. The results show that the system has potential in forecasting long term values, and may do so better than established models. Further improvements are also suggested.

scholarly journals ANALISIS MAKRO EKONOMI TERHADAP CADANGAN DEVISA INDONESIA (MELALUI PENDEKATAN MONETER)

2015 ◽  
Vol 4 (2) ◽  
pp. 127
Author(s):  
Novri Candra ◽  
Idris Idris ◽  
Selli Nelonda
Keyword(s):  
Exchange Rates ◽  
Interest Rates ◽  
Error Correction ◽  
Foreign Exchange ◽  
National Income ◽  
Foreign Exchange Reserves ◽  
Short Term ◽  
Negative Effect ◽  
Positive Effect

This study aimed to analyze the change in foreign exchange reserves which are affected by the state of national income, exchange rates, interest rates and inflation. This study was conducted to see the effect of the independent variable on the dependent variable in the long term and short term. The method used is the Error Correction Model (ECM). This study shows that the long-term effects of the variables national income and the exchange rate has a significant positive effect on foreign exchange reserves, while in the short term have a negative effect but not significant. Variable interest rates on long-term have a positive effect but not significant and in the short term have a significant negative effect on foreign exchange reserves. Variable inflation in the long term and short term no significant effect on the foreign exchange reserves. Results Error Correction Term (ECT) in this study amounted to 1,065, which means that in the short-term foreign exchange reserves will undergo considerable change and requires quite a long time to come back into balance.Keyword : Reserves, National Income, Exchange Rates, Interest Rates and Inflation ECM, ECT

Forecasting Short-Term Exchange Rates

2011 ◽  
pp. 195-212
Author(s):  
Leong-Kwan Li ◽  
Wan-Kai Pang ◽  
Wing-Tong Yu ◽  
Marvin D. Troutt
Keyword(s):  
Neural Networks ◽  
Exchange Rates ◽  
Foreign Exchange ◽  
Recurrent Neural Networks ◽  
Foreign Exchange Rates ◽  
Short Term ◽  
Financial Strategy ◽  
Term Trend ◽  
Exchange Markets ◽  
Short Term Trend

Movements in foreign exchange rates are the results of collective human decisions, which are the results of the dynamics of their neurons. In this chapter, we demonstrate how to model these types of market behaviors by recurrent neural networks (RNN). The RNN approach can help us to forecast the short-term trend of foreign exchange rates. The application of forecasting techniques in the foreign exchange markets has become an important task in financial strategy. Our empirical results show that a discrete-time RNN performs better than the traditional methods in forecasting short-term foreign exchange rates.

scholarly journals Modeling of short-term dynamics of foreign exchange rates using deep neural networks

2020 ◽  
Vol 3-4 (276-277) ◽  
pp. 153-163
Author(s):  
Vasily Derbentsev ◽  
◽  
Vitalii Bezkorovainyi ◽  
Andrey Ovcharenko ◽  
◽  
...  
Keyword(s):  
Neural Networks ◽  
Exchange Rates ◽  
Foreign Exchange ◽  
Deep Neural Networks ◽  
Foreign Exchange Rates ◽  
Short Term
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