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Computational Intelligence in Exchange-Rate Forecasting

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Author Info
Andreas S. Andreou (University of Cyprus)
George A. Zombanakis () (Bank of Greece)

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Abstract

This paper applies computational intelligence methods to exchange rate forecasting. In particular, it employs neural network methodology in order to predict developments of the Euro exchange rate versus the U.S. Dollar and the Japanese Yen. Following a study of our series using traditional as well as specialized, non-parametric methods together with Monte Carlo simulations we employ selected Neural Networks (NNs) trained to forecast rate fluctuations. Despite the fact that the data series have been shown by the Rescaled Range Statistic (R/S) analysis to exhibit random behaviour, their internal dynamics have been successfully captured by certain NN topologies, thus yielding accurate predictions of the two exchange-rate series.

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File URL: http://www.bankofgreece.gr/BogEkdoseis/Paper200649.pdf
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Publisher Info
Paper provided by Bank of Greece in its series Working Papers with number 49.

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Length: 43 pages
Date of creation: Nov 2006
Date of revision:
Handle: RePEc:bog:wpaper:49

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Related research
Keywords: Exchange - rate forecasting; Neural networks;

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Find related papers by JEL classification:
C53 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Forecasting and Other Model Applications

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References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
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    Other versions:
  2. Sophocles N. Brissimis & Nicholas S. Magginas, 2006. "Inflation Forecasts and the New Keynesian Phillips Curve," Working Papers 38, Bank of Greece. [Downloadable!]
    Other versions:
  3. Stephen Hall & George Hondroyiannis, 2006. "Measuring the correlation of shocks between the EU15 and the new member countries," Economic Change and Restructuring, Springer, vol. 39(1), pages 19-34, June. [Downloadable!] (restricted)
    Other versions:
  4. Sophocles N. Brissimis & Matthaios D. Delis & Efthymios G. Tsionas, 2006. "Technical and Allocative Efficiency in European Banking," Working Papers 46, Bank of Greece. [Downloadable!]
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  8. Eleni Angelopoulou, 2005. "The Comparative Performance of Q-type and Dynamic Models of Firm Investment: Empirical Evidence from the UK," Working Papers 27, Bank of Greece. [Downloadable!]
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  11. Heather D. Gibson & Nicholas T. Tsaveas & Thomas Vlassopoulos, 2006. "Capital Flows, Capital Account Liberalisation and the Mediterranean Countries," Working Papers 33, Bank of Greece. [Downloadable!]
  12. George S. Tavlas & P.A.V.B. Swamy, 2006. "The New Keynesian Phillips Curve and Inflation Expectations: Re-Specification and Interpretation," Working Papers 34, Bank of Greece. [Downloadable!]
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  13. Sophocles N. Brissimis & Theodora S. Kosma, 2005. "Market Power, Innovative Activity and Exchange Rate Pass-Through," Working Papers 22, Bank of Greece. [Downloadable!]
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  16. George Stubos & Ioannis Tsikripis, 2005. "Regional Integration Challenges in South East Europe: Banking Sector Trends," Working Papers 24, Bank of Greece. [Downloadable!]
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  20. Hans Genberg, 2006. "Exchange-Rate Arrangements and Financial Integration in East Asia: On a Collision Course?," Working Papers 41, Bank of Greece. [Downloadable!]
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  21. Otmar Issing, 2006. "Europe's Hard Fix: The Euro Area," Working Papers 39, Bank of Greece. [Downloadable!]
  22. Athanasoglou, Panayiotis & Delis, Manthos & Staikouras, Christos, 2006. "Determinants Of Bank Profitability In The South Eastern European Region," MPRA Paper 10274, University Library of Munich, Germany. [Downloadable!]
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  23. Pavlos Petroulas, 2006. "The Effect of the Euro on Foreign Direct Investment," Working Papers 48, Bank of Greece. [Downloadable!]
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  24. Faidon Kalfaoglou & Alexandros Sarris, 2006. "Modeling the Components of Market Discipline," Working Papers 36, Bank of Greece. [Downloadable!]
  25. Christos Papazoglou, 2005. "Real Exchange Rate Dynamics and Output Contraction under Transition," Working Papers 29, Bank of Greece. [Downloadable!]
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Cited by:
(explanations, Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.)

  1. Panagiotis Chronis & Aspassia Strantzalou, 2008. "Monetary and Fiscal Policy Interaction: What is the Role of the Transaction Cost of the Tax System in Stabilisation Policies?," Working Papers 71, Bank of Greece. [Downloadable!]
  2. Kristoufek, Ladislav, 2009. "Distinguishing between short and long range dependence: Finite sample properties of rescaled range and modified rescaled range," MPRA Paper 16424, University Library of Munich, Germany. [Downloadable!]
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