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Exchange Rate Forecasting, Time Series Model
RATE FORECASTING
Subsections
Introduction
Auto-Regression Moving-Average Models (ARMA)
Definitions
Definition of Residuals
Minimization of Residuals of ARMA Models
Optimization of AR parameters
Optimization of MA parameters
Predicting "Next-Day" Rate
Evaluation of ARMA Prediction Errors
External Factors
Missing Data
Applying ARMA to External Factors
Artificial Neural Networks Models (ANN)
Involving Auto Regression (AR) into ANN
Bilinear Models (BL)
Auto-Regression Fractionally-Integrated Moving-Average Models (ARFIMA)
Definitions
Minimization of Residuals
Discussions
Multi-Step Prediction
Structural Stabilization
Stabilization of Structures of Time Series
Simple Example
Example of Structural Optimization Including External Factors
Examples of Squared Residuals Minimization
Multi-Modality Examples
Optimization Results
Software Example
Multi-Factor ARMA Software
Illustrative Example of ARMA Software: Stock Rate Prediction
Illustrative Example of ARMA Software: Simple Test File
ANN Software
mockus 2008-06-21
