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The Horizon of Prediction for Exchange Rate Eur-Leu

Author

Listed:
  • Dumitru Ciobanu

    (University of Craiova, Romania)

Abstract

For the chaotic systems, the fact that they are deterministic does not make them predictable. However, the predictive power in the case of chaotic systems can be improved and this can be illustrated by weather system for which predictions for short periods have reached to a very good accuracy. A positive Largest Lyapunov Exponent indicates the presence of chaos in the evolution of a time series and it is used to establish a correct horizon of prediction.

Suggested Citation

  • Dumitru Ciobanu, 2012. "The Horizon of Prediction for Exchange Rate Eur-Leu," Annals of the University of Petrosani, Economics, University of Petrosani, Romania, vol. 12(2), pages 85-92.
    • Handle: RePEc:pet:annals:v:12:y:2012:i:2:p:85-92
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    File URL: http://www.upet.ro/annals/economics/pdf/2012/part2/Ciobanu.pdf
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    References listed on IDEAS

    as
    1. Maria Vasilescu & Mariana Claudia Mungiu-Pupăzan, 2010. "Inflation Targeting – Between Theory And Reality," Annals of the University of Petrosani, Economics, University of Petrosani, Romania, vol. 10(3), pages 357-364.
    2. Mirela Catalina Turkes (Vint), 2010. "The Globalization Of The Banking And Financial Crisis On International Level," Annals of the University of Petrosani, Economics, University of Petrosani, Romania, vol. 10(1), pages 349-362.
    3. Dragoş Stuparu & Tomiţă Vasile, 2009. "The Electronic Commerce in the Globalisation Era," Annals of the University of Petrosani, Economics, University of Petrosani, Romania, vol. 9(2), pages 301-306.
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    Cited by:

    1. Anca Tănasie & Raluca Drăcea & Georgiana Raluca Lădaru, 2017. "A Chaos Theory Perspective on International Migration," Sustainability, MDPI, vol. 9(12), pages 1-10, December.

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    More about this item

    Keywords

    chaos; Lyapunov Exponent; exchange rate; horizon of prediction;
    All these keywords.

    JEL classification:

    • C53 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Forecasting and Prediction Models; Simulation Methods
    • G17 - Financial Economics - - General Financial Markets - - - Financial Forecasting and Simulation

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