<abstract xmlns="http://www.w3.org/1999/xhtml"><p>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.</p></abstract>

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

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

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

International Journal of Applied Mathematics and Computer Science

This work is licensed under the Creative Commons Attribution-NonCommercial-NoDerivatives 3.0 License.

The paper considers the forecasting of the euro/Polish złoty (EUR/PLN) spot exchange rate by applying state space wavelet network and econometric forecast...

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

Publié en ligne: 31 mars 2016

Pages: 161 - 173

Reçu: 15 janv. 2015

DOI: https://doi.org/10.1515/amcs-2016-0011

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

© 2016 Mietek A. Brdyś et al., published by De Gruyter Open

This work is licensed under the Creative Commons Attribution-NonCommercial-NoDerivatives 3.0 License.

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

Publié en ligne: 31 mars 2016

Pages: 161 - 173

Reçu: 15 janv. 2015

DOI: https://doi.org/10.1515/amcs-2016-0011

Mots cléscurrency exchange rate, artificial intelligence, state space wavelet network, Metropolis Monte Carlo, forecast combinations, data generating process

© 2016 Mietek A. Brdyś et al., published by De Gruyter Open

This work is licensed under the Creative Commons Attribution-NonCommercial-NoDerivatives 3.0 License.

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