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Abstract
This article is devoted to the issue of forecasting exchange rates. The objective of the conducted research is to develop a predictive model with the use of an innovative methodology - fuzzy logic theory - and to evaluate its effectiveness in times of prosperity and during the financial crisis. The model is based on sets of rules written by the author in the form of IF-THEN, where expert knowledge is stored. This model is the result of ten years of the author's research on this issue. Empirically, this paper employs three currency pairs as experimental datasets: JPY/USD, GBP/USD and CHF/USD. From the model verification, it is demontrasted that refined processes are effective in improving the forecasting of exchange rate movements.
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Details
- Category:
- Articles
- Type:
- artykuł w czasopiśmie wyróżnionym w JCR
- Published in:
-
KNOWLEDGE-BASED SYSTEMS
no. 67,
pages 49 - 60,
ISSN: 0950-7051 - Language:
- English
- Publication year:
- 2014
- Bibliographic description:
- Korol T.: A fuzzy logic model for forecasting exchange rates// KNOWLEDGE-BASED SYSTEMS. -Vol. 67, (2014), s.49-60
- Verified by:
- Gdańsk University of Technology
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