Inference on Predictability of Foreign Exchange Rates via Generalized Spectrum and Nonlinear Time Series Models

2004 ◽  
Vol 86 (3) ◽  
pp. 840-840
Author(s):  
Yongmiao Hong ◽  
Tae-Hwy Lee
Keyword(s):  
Time Series ◽  
Exchange Rates ◽  
Foreign Exchange ◽  
Nonlinear Time Series ◽  
Time Series Models ◽  
Foreign Exchange Rates ◽  
Generalized Spectrum

scholarly journals The Dynamics of Philippine Foreign Exchange Rates (2013-2017): A Test for Chaos

2019 ◽  
Vol 8 (11) ◽  
pp. 486-489
Keyword(s):  
Time Series ◽  
Exchange Rate ◽  
Lyapunov Exponent ◽  
Exchange Rates ◽  
Foreign Exchange ◽  
Chaotic Behavior ◽  
The Philippines ◽  
Series Data ◽  
Largest Lyapunov Exponent ◽  
Foreign Exchange Rates

In most studies on dynamics of time series financial data, the absence of chaotic behavior is generally observed. However, this theory is not yet established in the dynamics of foreign exchange rates. Conflicting claims of presence and absence of chaos in foreign exchange rates open door for further investigation considering various deterministic factors. This work examines the dynamics of exchange rate of the Philippine Peso against selected foreign currencies. Time series data were collected for eight (8) of Philippine’s top trading partners as categorized according to economic condition. The data obtained with permission from the Central Bank of the Philippines covered the years 2013 to 2017. Data sets were plotted revealing non-linear movement of Philippine exchange rates against time. The foreign exchange rate time series obtained per currency were examined for chaotic behavior by computing the Largest Lyapunov Exponents (LLE). A positive Lyapunov exponent is an indication of sensitivity dependence, i.e, a chaotic dynamics; whereas, a negative Lyapunov exponent indicates otherwise. Computed LLE’s varied per currency but all were found to be negative. Therefore, using the Largest Lyapunov Exponent Test (LLE), analysis of the time series of Philippine foreign exchange rates shows little evidence of chaotic patterns.

Dynamical analyses of the time series for three foreign exchange rates

2012 ◽  
Vol 60 (9) ◽  
pp. 1473-1476 ◽  
Author(s):  
Sehyun Kim ◽  
Soo Yong Kim ◽  
Jae-Won Jung ◽  
Kyungsik Kim
Keyword(s):  
Time Series ◽  
Exchange Rates ◽  
Foreign Exchange ◽  
Foreign Exchange Rates

CURRENCY EXCHANGE RATE PREDICTION TECHNIQUE BY FUZZY INFERENCING ON THE CHAOTIC NATURE OF TIME SERIES DATA

1996 ◽  
Vol 04 (05) ◽  
pp. 431-448 ◽  
Author(s):  
SABYASACHI GHOSHRAY
Keyword(s):  
Time Series ◽  
Dynamic System ◽  
Exchange Rates ◽  
Foreign Exchange ◽  
Time Series Data ◽  
Point Of View ◽  
Series Data ◽  
Dimensional Euclidean Space ◽  
Reconstruction Method ◽  
Foreign Exchange Rates

Predicting foreign exchange rates and stock market indices have been a well researched topic in the field of financial engineering. However, most methods suffer from serious drawback due to the inherent uncertainty in the data acquisition process. Here, we have analyzed the very nature of the time series data from a pure dynamic system point of view and explored the deterministic chaotic characteristic in it. In this research, the concept of chaos has been analyzed thoroughly and the relationships among chaos, stability and order have been explained with respect to the concept of time. A method of predicting time series data based on deterministic dynamically system has been presented in this monograph. The present research revolves around the concepts of embedding and fuzzy reconstruction. In this regard, the necessary and sufficient condition for this reconstruction of the state space of the dynamic system in a multi-dimensional Euclidean space has been substantiated in accordance to Theory of embedding. Finally, a fuzzy reconstruction method based on fuzzy multiple regression analysis method has been used to predict the foreign exchange rates with accuracy.

scholarly journals Performance of technical indicators in forecasting high-frequency foreign exchange rates

2004 ◽  
Vol 52 (3) ◽  
pp. 157-166
Author(s):  
Václav Mastný
Keyword(s):  
Time Series ◽  
Exchange Rates ◽  
Foreign Exchange ◽  
High Frequency ◽  
Foreign Exchange Market ◽  
Technical Analysis ◽  
Foreign Exchange Rates ◽  
Exchange Market ◽  
Technical Indicators

This paper deals with technical analysis and its forecasting ability in the intradaily foreign exchange market. The objective of this study is to investigate whether technical indicators are able to provide prediction superior to „buy and hold“ strategy. Each indicator is tested with series of parameters in time series of different frequency (5, 15, 30, 60 min). The profitability of each indicator is examined in simple trading modell.

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