文章基本信息

标题：Short-term foreign exchange forecasting: decision making based on expert polls
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作者：Jaehyung An ; Mikhail Dorofeev
期刊名称：Investment Management & Financial Innovations
印刷版ISSN：1810-4967
电子版ISSN：1812-9358
出版年度：2019
卷号：16
期号：4
页码：215-228
DOI：10.21511/imfi.16(4).2019.19
语种：English
出版社：LLC “Consulting Publishing Company “Business Perspectives”
摘要：The paper aims to analyze the decision making based on expert polls for short-term foreign exchange(FX)forecasting from the viewpoint of the economic behavior theory. The paper offers the assessment of the problem of decision making for forecasting and investment into foreign currency.This study analyzes the relative accuracy of expert polls and forecasts,based on historical data,in the prediction of the most liquid currency pairs(EUR/USD,USD/JPY,GBP/USD)as well as USD/RUB currency pair on time horizons 1,2,6,and 12 months.Observation period lasted from January 2018 to January 2019.For EUR/USD(56-62 experts),the polls were more accurate than his torical simulations.For GBP/USD(28-70 experts),historical simulations were more accurate than polls.For USD/JPY and USD/RUB,historical simulations are better ear lier,while polls are slightly better later.The main conclusion is that EUR/USD histori?cal modeling is usually less accurate on the horizon more than half a year as compared with expert polls for making the decisions about the future exchange rate.
关键词：foreign exchange forecasting;expert polls;FX modeling;mean absolute error;decision making under uncertainty;FX investment