Foreign exchange forecasting & modeling – A review of recent research

This paper is a review of studies that have been published related to the forecasting and modeling of foreign exchange (forex) price movements or exchange rate since 2000. The main findings in this study are the method used to analyze and predict the movement of foreign exchange prices has germinate...

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Bibliographic Details
Main Authors: Rashid, R. A. Abdul, Maarof, M. Z. Md
Format: Conference Proceeding
Language:English
Subjects:
Forecasting
Mathematical models
Modelling
Prediction models
Online Access:Get full text
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Summary:This paper is a review of studies that have been published related to the forecasting and modeling of foreign exchange (forex) price movements or exchange rate since 2000. The main findings in this study are the method used to analyze and predict the movement of foreign exchange prices has germinated and evolved from fundamental modelling all the way to machine ingenuity. Several new techniques have been introduced in this field by combining some popular prediction and modeling techniques such as time series models and econometric models. However, based on the study there is no single consistent model that can outperform other predictive models. The study also found that there are several new efforts and improvements to obtain accuracy in the respective prediction models using qualitative and quantitative prediction approaches that can be used by forex traders and academics.
ISSN:0094-243X
1551-7616
DOI:10.1063/5.0167443