IDEAS home Printed from https://ideas.repec.org/a/prg/jnlpep/v2011y2011i3id398p232-249.html
   My bibliography  Save this article

Exchange Rate Predictions in International Financial Management by Enhanced GMDH Algorithm

Author

Listed:
  • Josef Taušer
  • Petr Buryan

Abstract

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.

Suggested Citation

  • Josef Taušer & Petr Buryan, 2011. "Exchange Rate Predictions in International Financial Management by Enhanced GMDH Algorithm," Prague Economic Papers, Prague University of Economics and Business, vol. 2011(3), pages 232-249.
    • Handle: RePEc:prg:jnlpep:v:2011:y:2011:i:3:id:398:p:232-249
    DOI: 10.18267/j.pep.398
    as

    Download full text from publisher

    File URL: http://pep.vse.cz/doi/10.18267/j.pep.398.html
    Download Restriction: free of charge
    File URL: http://pep.vse.cz/doi/10.18267/j.pep.398.pdf
    Download Restriction: free of charge
    File URL: https://libkey.io/10.18267/j.pep.398?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    As the access to this document is restricted, you may want to search for a different version of it.

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Eva Černohlávková & Hana Machková & Ludmila Štěrbová & Dana Zadražilová, 2013. "Zahraniční a vnitřní obchod - historie a rozvoj vědního oboru [Foreign and Domestic Trade - The History and Development of Science Branch]," Politická ekonomie, Prague University of Economics and Business, vol. 2013(4), pages 555-567.
    2. Radim Gottwald, 2015. "The Forecasting of Spot Exchange Rates Based on the Forward Exchange Rates," MENDELU Working Papers in Business and Economics 2015-52, Mendel University in Brno, Faculty of Business and Economics.

    More about this item

    Keywords

    GMDH; self-organizing polynomial networks; time series analysis; exchange rate prediction; FX hedging;
    All these keywords.

    JEL classification:

    • F37 - International Economics - - International Finance - - - International Finance Forecasting and Simulation: Models and Applications
    • G17 - Financial Economics - - General Financial Markets - - - Financial Forecasting and Simulation

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. 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.

    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.

    We have no bibliographic references for this item. You can help adding them by using 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 RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Stanislav Vojir (email available below). General contact details of provider: https://edirc.repec.org/data/uevsecz.html .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.