Foreign Exchange Rates: A Research Overview of the Latest Prediction Techniques

Predicting foreign exchange rates is a complex task, but recent advances in computational techniques and statistical methods offer hope. This book provides an in-depth assessment of the use of novel statistical approaches and machine learning tools in predicting exchange rate movement, offering a historical account of exchange rate regimes and an overview of previous attempts at modeling exchange rates. It examines the time series characteristics of exchange rates and how contemporary statistics and machine learning can improve predictive power. The book is written in a clear, engaging, and straightforward way and will appeal to graduate-level students of international economics, international finance, open economy macroeconomics, and management.

Format: Hardback
Length: 68 pages
Publication date: 08 February 2021
Publisher: Taylor & Francis Ltd

Predicting foreign exchange rates has long been a daunting task for economists, but recent advancements in computational techniques, statistical methods, and newer datasets on emerging market currencies offer hope. While we are still unable to beat a driftless random walk model, significant progress has been made in the field. This book provides an in-depth assessment of the use of novel statistical approaches and machine learning tools in predicting foreign exchange rate movement.

First, it offers a historical account of how exchange rate regimes have evolved over time, which is critical to understanding turning points in a historical time series. It then presents an overview of the previous attempts at modeling exchange rates, and how different methods fared during this process. At the core sections of the book, the author examines the time series characteristics of exchange rates and how contemporary statistics and machine learning can be useful in improving predictive power, compared to previous methods used.

Exchange rate determination is an active research area, and this book will appeal to graduate-level students of international economics, international finance, open economy macroeconomics, and management. The book is written in a clear, engaging, and straightforward way, and will greatly improve access to this much-needed knowledge in the field.

Weight: 224g
Dimension: 141 x 222 x 12 (mm)
ISBN-13: 9780367609917