Exchange Rate Predictions in International Financial Management by Enhanced GMDH Algorithm
Exchange rate forecasting is an important financial problem that is receiving increasing attention nowadays especially because of its difficulty and host of practical applications in globalising world of today. The paper presents an enhanced MIA-GMDH-type network, discusses its design methodology and carries out some numerical experiments in the field of exchange rate forecasting. The method presented in this paper is an enhancement of self-organizing polynomial Group Method of Data Handling (GMDH) with several specific improved features - coefficient rounding and thresholding schemes and semi-randomized selection approach to pruning. The experiments carried out include exchange rate prediction and hedging case study where the predictions were used for financial management decision simulation of a virtual company. The results indicate, that the method shows promising potential of self-organizing network methodology. This implies that the proposed modelling approaches can be used as a feasible solution for exchange rate forecasting in financial management.
If you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
As the access to this document is restricted, you may want to look for a different version under "Related research" (further below) or search for a different version of it.
Volume (Year): 2011 (2011)
Issue (Month): 3 ()
|Contact details of provider:|| Postal: |
Phone: (02) 24 09 51 11
Fax: (02) 24 22 06 57
Web page: http://www.vse.cz/
More information through EDIRC
|Order Information:|| Postal: Editorial office Prague Economic Papers, University of Economics, nám. W. Churchilla 4, 130 67 Praha 3, Czech Republic|
Web: http://www.vse.cz/pep/ Email:
When requesting a correction, please mention this item's handle: RePEc:prg:jnlpep:v:2011:y:2011:i:3:id:398:p:232-249. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Vaclav Subrta)
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If references are entirely missing, you can add them using this form.
If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.
Please note that corrections may take a couple of weeks to filter through the various RePEc services.