Exchange Rate Forecasting with Information Flow Approach
| Autor: | Irena Mačerinskienė, Andrius Balčiūnas |
|---|---|
| Rok vydání: | 2016 |
| Předmět: |
information flow approach
050208 finance Financial economics Strategy and Management 05 social sciences technical analysis Regression analysis lcsh:Business Exchange rate foreign exchange market Technical analysis 0502 economics and business Econometrics Economics Information flow (information theory) fundamental models 050207 economics lcsh:HF5001-6182 microstructure approach Foreign exchange market |
| Zdroj: | Business: Theory and Practice; Vol 17 No 2 (2016); 109-116 Business: Theory and Practice, Vol 17, Iss 2 (2016) |
| ISSN: | 1822-4202 1648-0627 |
| DOI: | 10.3846/btp.2016.554 |
| Popis: | The purpose of this article is to assess exchange rate forecasting possibilities with an information flow approach model. In the model the three types of information flows are distinguished: fundamental analysis information flow through particular macroeconomic determinants, microstructure approach information flow through dealer clients’ positioning data, technical analysis information flow through technical indicators. By using regression analysis it is shown that the composed model can forecast the exchange rate, the most significant information flows are distinguished. The results lead to further development of the information flow approach as a tool to forecast exchange rate fluctuations. |
| Databáze: | OpenAIRE |
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