Two-Period-Ahead Forecasting for Investment Management in the Foreign Exchange
The 16th World Multi-Conference on Systemics, Cybernetics and Informatics (WMSCI 2012): Proceedings 2012
Konstantins Kozlovskis, Nataļja Lāce, Jeļena Titko, Jūlija Bistrova

Modern trading platforms with built-in programming languages and application of programming interfaces allow implementation of econometric methods in financial instruments trading. Offline testing of the developed strategies gives an opportunity to estimate the efficiency of investment management based on such trading technology. Autoregressive models ensure sufficient approximation of the financial time series. The main idea of the paper is to check the possibility of using two-period-ahead forecasting in trading on foreign exchange taking into account some limitations described in the paper. Using this feature of autoregressive models the efficiency of two-period-ahead forecasting is evaluated in this paper as a part of the simplest trading strategy on foreign exchange. The trading strategy is based on opening the position on daily average prices predicted by one-period-ahead forecasting and closing the position on take profit level predicted by two-period-ahead forecasting. The advantages and disadvantages of two-period-ahead forecasting implementation in investment management are discovered when testing the trading strategy on foreign exchange. After estimation of the trading statistics some optimizations are made in the initial trading strategy.


Atslēgas vārdi
two-period-ahead forecasting, investment management, foreign exchange

Kozlovskis, K., Lāce, N., Titko, J., Bistrova, J. Two-Period-Ahead Forecasting for Investment Management in the Foreign Exchange. No: The 16th World Multi-Conference on Systemics, Cybernetics and Informatics (WMSCI 2012): Proceedings, Amerikas savienotās valstis, Orlando, 17.-20. jūlijs, 2012. Orlando: International Institute of Informatics and Systemics, 2012, 38.-43.lpp. ISBN 978-1-936338-62-7.

Publikācijas valoda
English (en)
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