ADAPTIVE PREDICTIONS OF THE EURO/ZŁOTY CURRENCY EXCHANGE RATE USING STATE SPACE WAVELET NETWORKS AND FORECAST COMBINATIONS

Mieczysław Brdyś; Marcin Brdyś; Sebastian M. Maciejewski

doi:10.1515/amcs-2016-0011

ADAPTIVE PREDICTIONS OF THE EURO/ZŁOTY CURRENCY EXCHANGE RATE USING STATE SPACE WAVELET NETWORKS AND FORECAST COMBINATIONS

Abstract

The paper considers the forecasting of the euro/Polish złoty (EUR/PLN) spot exchange rate by applying state space wavelet network and econometric forecast combination models. Both prediction methods are applied to produce one-trading-day- ahead forecasts of the EUR/PLN exchange rate. The paper presents the general state space wavelet network and forecast combination models as well as their underlying principles. The state space wavelet network model is, in contrast to econo- metric forecast combinations, a non-parametric prediction technique which does not make any distributional assumptions regarding the underlying input variables. Both methods can be used as forecasting tools in portfolio investment manage- ment, asset valuation, IT security and integrated bus iness risk intelligence in volatile market conditions.

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Authors (3)

Mieczysław Brdyś prof. dr hab. inż.
Marcin Brdyś
Sebastian M. Maciejewski
- PGE Polish Energy Group .

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Category:: Articles
Type:: artykuł w czasopiśmie wyróżnionym w JCR
Published in:: International Journal of Applied Mathematics and Computer Science no. 26, edition 1, pages 161 - 173,
ISSN: 1641-876X
Language:: English
Publication year:: 2016
Bibliographic description:: Brdyś M., Brdyś M., Maciejewski S.: ADAPTIVE PREDICTIONS OF THE EURO/ZŁOTY CURRENCY EXCHANGE RATE USING STATE SPACE WAVELET NETWORKS AND FORECAST COMBINATIONS// International Journal of Applied Mathematics and Computer Science. -Vol. 26, iss. 1 (2016), s.161-173
DOI:: Digital Object Identifier (open in new tab) 10.1515/amcs-2016-0011
Verified by:: Gdańsk University of Technology