ANDREOU, ANDREAS S. and ZOMBANAKIS, GEORGE A. and GEORGOPOULOS, E. F. and LIKOTHANASSIS, S. D. (1998): Forecasting Exchange-Rates via Local Approximation Methods and Neural Networks. Published in: EUROPEAN RESEARCH STUDIES , Vol. 1, No. 4 (December 1998): pp. 5-33.
Download (301Kb) | Preview
There has been an increased number of papers in the literature in recent years, applying several methods and techniques for exchange - rate prediction. This paper focuses on the Greek drachma using daily observations of the drachma rates against four major currencies, namely the U.S. Dollar (USD), the Deutsche Mark (DM), the French Franc (FF) and the British Pound (GBP) for a period of 11 years, aiming at forecasting their short-term course by applying local approximation methods based on both chaotic analysis and neural networks.
|Item Type:||MPRA Paper|
|Original Title:||Forecasting Exchange-Rates via Local Approximation Methods and Neural Networks|
|English Title:||Forecasting Exchange-Rates via Local Approximation Methods and Neural Networks|
|Keywords:||Key Words: Exchange Rates, Forecasting, Neural Networks|
|Subjects:||C - Mathematical and Quantitative Methods > C4 - Econometric and Statistical Methods: Special Topics > C45 - Neural Networks and Related Topics|
|Depositing User:||GEORGE ZOMBANAKIS|
|Date Deposited:||10. Oct 2009 05:56|
|Last Modified:||14. Feb 2013 11:39|
Bank of Greece, 1997, “Annual Monetary Program Announcement”, Athens.
Bank of Greece, 1984, “Report of the Governor”, Athens.
Bank of Greece, 1986, “Report of the Governor”, Athens.
Bank of Greece, 1994, “Report of the Governor”, Athens.
Bank of Greece, 1995, “Report of the governor”, Athens.
Bank of Greece, 1997, “Report of the governor”, Athens.
Baxter, M., 1994, “Real Exchange Rates and Real Interest Differentials”, Journal of Monetary Economics 33, (1), 5-37, 1994.
Booth, G. G., F. R. Kaen, and P. E. Koveos, 1982, “R/S analysis of foreign exchange rates under two international monetary regimes”, Journal of Monetary Economics 10, 407-415.
Bountis, T., L. Karakatsanis, G. Papaioannou and G. Pavlos, 1993, “Determinism and noise in surface temperature time series”, Annales Geophysicae 11, 947-959.
Brissimis S.N. and J.A. Leventakis, 1989, “The Effectiveness of Devaluation: A General Equilibrium Assessment with Reference to Greece”, Journal of Policy Modeling 11(2), 247-271.
Cachin, C., 1994, “Pedagogical Pattern Selection Strategies”, Neural Network, 7, No.1, 175-181.
Cheung, Y. W., 1993, “Long Memory in Foreign-Exchange Rates”, Journal of Business & Economic Statistics 11 no 1, 93-101.
De Grauwe, P., H. Dewachter and M. Embrechts, 1993, “Exchange-Rate Theory” (Blackwell, Oxford).
Diamandides, P. and G. Kouretas, 1996, “Exchange-Rate Determination: Empirical Evidence for the Greek Drachma”, Managerial and Decision Economics 17, 277-290.
Farmer J. D. and J. J. Sidorowich, 1987, “Prediction Chaotic time series”, Physical Review Letters 59, 845-848.
Frankel, J. A., 1993, “On Exchange Rates” (MIT Press).
Grassberger, P., and I. Procaccia, 1983, “Measuring the strangeness of a strange attractor”, Physica D9, 189-208.
Hilborn, R. C., 1994, “Chaos and Nonlinear Dynamics - An Introduction for Scientists and Engineers” (Oxford University Press).
Karadeloglou P., C. Papazoglou, G. A. Zombanakis, 1998, “Is the Exchange Rate An Effective Anti-Inflationary Policy Instrument?”, Economia.2(1), 47-72.
Karadeloglou, P., 1990, “On the existence of an inverse j-curve”, Greek Economic Review 12, 285-305.
Karfakis, C., 1991, “A Model of Exchange-Rate Policy: Evidence for the US Dollar - Greek Drachma Rate 1975 - 1987”, Applied Economics 23, 815-820.
Karytinos A., Andreou, A.S. and Pavlides G., 1999, “Long-Term Dependence in Exchange Rates”, Journal of Discrete Dynamics in Nature and Society.
Kim, J. C. B. and S. Mo, 1995, “Cointegration and the long-run forecast of exchange rates”, Economic Letters 48, 353-359.
Koutmos, G. and P. Theodossiou, 1994, “Time-Series Properties and Predictability of Greek Exchange Rates”, Managerial and Decision Economics 15, 159-167.
Leventakis, J., “Exchange-Rate Models: Do They Work?”, 1987, Weltwirtschaftliches Archiv 123, 363-376.
Levich, R., 1989, “Forward Rates as the Optimal Future Spot Rate Forecast” (in C. Dunis and M. Feeny Exchange-Rate Forecastng, Probus, Chicago).
Lewis, K. K., 1989, “Can learning affect exchange-rate behavior? The case of the Dollar in the early 1980’s”, Journal of Monetary Economics 23, 79-100.
Marsh, I. W. And D. M. Power, 1996, “A note on the performance of foreign exchange forecasters in a portfolio framework”, Journal of Banking & Finance 20, 605-613.
Medio, A., 1992, “Chaotic Dynamics - Theory and Applications to Economics” (Cambridge University Press).
Meese, R. and K. Rogoff, 1983, “Empirical Exchange-Rate Models of the Seventies”, Journal of International Economics 14, 3-24.
Mehta, M., 1995, “Foreign-Exchange Markets” (in Refenes A.P. (ed.) Neural Networks in the Capital Markets, Wiley, U.K.).
Pawelzik, K. And H. Schuster, 1987, “Generalized dimensions and entropies from a measured time series”, Physical Review A35, No 1, 481-484.
Pesaran, H. M. and S. M. Potter, 1992, “Nonlinear dynamics and econometrics: An introduction”, Journal of Applied Econometrics. 7, s1-s7.
Peters, E. E., 1994, “Fractal Market Analysis - Applying Chaos Theory to Investment and Economics” (Wiley Finance Edition).
Pilbeam, K., 1995, “Exchange-Rate Models and Exchange-Rate Expectations: An Empirical Investigation”, Applied Economics 27, 1009-1015.
Pollock, A. C. And M. E. Wilkie, 1996, “The quality of bank forecasts: The dollar-pound exchange rate 1990-1993”, European Journal of Operational Research 91, 306-314.
Ramsey, J. B. And H. J. Yuan, 1989, “Bias and error bars in dimension calculations and their evaluation in some simple models”, Phys. Lett. A134, 397-398.
Ramsey, J. B. And H. J. Yuan, 1990, “The statistical properties of dimension calculations using small data sets”, Nonlinearity 3, 155-176.
Refenes, A. P. and A. Zaidi, 1995, “Managing Exchange-Rate Prediction Strategies with Neural Networks” (in Refenes A.P. (ed.) Neural Networks in the Capital Markets, Wiley, U.K.).
Rumelhart, D. E. and J. McLelland, 1986, “Parallel Distributed Processing”, (Cambridge, MA, MIT Press).
Schuster, H., 1988, “Deterministic Chaos” 2nd ed. (Physik-Verlag, Weinheim).
Schwarz, G., 1978, “Estimating the dimension of a model”, Annals of Statistics 6, 461-464.
Six, J. M., 1989, “Economics and Exchange-Rate Forecasting” (in C. Dunis and M. Feeny Exchange –Rate Forecastng, Probus, Chicago).
Steurer, E., 1995, “Non-Linear Modeling of the DEM/USD Exchange Rate” (in Refenes A.P. (ed.) Neural Networks in the Capital Markets, Wiley, U.K.).
Takens, F., 1981, in Dynamical Systems and Turbulence. Vol. 898 of Lecture Notes in Mathematics, Rand and Young eds. (Springer-Verlag, Berlin).
Taylor M.. P., 1995, “The Economics of Exchange Rates”, Journal of Economic Literature XXXIII, 13-47.
Theiler, J., 1986, “Spurious dimension from correlation algorithms applied to limited time-series data”, Phys. Rev. A34, 2427-2432.
Tsonis, A., 1992, “Chaos : From Theory to Applications” (Plenum, New York).
Unistat Ltd, 1994, Cortex-Pro Neural Networks Development System, London, U.K.
Verrier, M., 1989, “Selection & Application of Currency Forecasts (in C. Dunis & M., Feeny (eds.), Exchange-Rate Forecasting, Probus, Chicago, USA), 303-343.
West, K. D. and D. Cho, 1995, “The predictive ability of several models of exchange rate volatility”, Journal of Econometrics 69, 367-391.
Zombanakis G. A., 1997, “Is The Greek Exporters’ Price Policy Asymmetric?”, Greek Economic Review, 19 (2).