Forecasting discretized daily USD/DEM exchange rate movements with quantitative fundamental models

Creators: Steurer, Elmar and Rothenhäusler, Matthäus and Yeo, Yeong-Koo
Title: Forecasting discretized daily USD/DEM exchange rate movements with quantitative fundamental models
Item Type: Book Section
Projects: ILR
Page Range: pp. 467-472
Date: 1998
Divisions: Wirtschaftswissenschaften
Abstract: This paper takes a new look at the old theme of forecasting daily USD/DEM changes. Fundamental data with daily availability are used to build up quantitative models. The purpose of this paper is twofold: The first contribution of the paper is to analyse the influence of discretization to financial data. Second it examines the capability of a neural network for forecasting daily exchange rate movements and compares its predictive power with that of linear regression and discriminant analysis in case of discretized data. Thus the objective of this study is to address the issues faced by users of quantitative forecasting systems in terms of appropriate data transformations and model selection.
Citation:

Steurer, Elmar and Rothenhäusler, Matthäus and Yeo, Yeong-Koo (1998) Forecasting discretized daily USD/DEM exchange rate movements with quantitative fundamental models. In: Gaul, W./Locarek-Junge, H. (Hrsg.): Classification in the Information Age. Springer, Berlin, pp. 467-472. ISBN 978-3-540-65855-9

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