DocumentCode
2994270
Title
Research on daily exchange rate forecasting with multivariate singular spectrum analysis
Author
Zhang Yi ; Hui Xiao-feng
Author_Institution
Sch. of Manage., Harbin Inst. of Technol., Harbin, China
fYear
2012
fDate
20-22 Sept. 2012
Firstpage
1365
Lastpage
1370
Abstract
This article offered an effective method to forecast daily exchange rate. Based on the inspecting and discriminating the nonlinearity structure of the exchange rate system, we use univariate and multivariate singular spectrum analysis for predicting the value and the direction of changes in the daily pound/dollar exchange rate. In prediction of daily pound/dollar rate, we use the rescaled and bootstrapped daily euro/dollar rate as a guidepost for the singular spectrum analysis method. We use the random walk model as a benchmark to evaluate performances of the singular spectrum analysis as a prediction method. Empirical results show that the forecast based on the multivariate singular spectrum analysis compares favorably to the forecast of the random walk model both for predicting the value and the direction of changes in the daily pound/dollar exchange rate.
Keywords
economic forecasting; foreign exchange trading; statistical analysis; bootstrapped daily euro-dollar rate; daily exchange rate forecasting; multivariate singular spectrum analysis; nonlinearity structure; pound-dollar exchange rate; random walk model; univariate singular spectrum analysis; Exchange rates; Forecasting; Market research; Matrix decomposition; Predictive models; Spectral analysis; Time series analysis; forecasting exchange rate; nonlinear system; random walk model; singular spectrum analysis;
fLanguage
English
Publisher
ieee
Conference_Titel
Management Science and Engineering (ICMSE), 2012 International Conference on
Conference_Location
Dallas, TX
ISSN
2155-1847
Print_ISBN
978-1-4673-3015-2
Type
conf
DOI
10.1109/ICMSE.2012.6414352
Filename
6414352
Link To Document