Effects of trend strength and direction on performance and consistency in judgmental exchange rate forecasting

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2013-04-01

Author

Thomson, Mary E.
Pollock, Andrew C.
Gönül, Mustafa Sinan
ÖNKAL, DİLEK

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This work is licensed under a Creative Commons Attribution-NonCommercial-NoDerivatives 4.0 International License.

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Using real financial data, this study examines the influence of trend direction and strength on judgmental exchange rate forecasting performance and consistency. Participants generated forecasts for each of 20 series. Half of the participants also answered two additional questions regarding their perceptions about the strength and direction of the trend present in each of the series under consideration. The performance on ascending trends was found to be superior to that on descending trends, and the performance on intermediate trends was found to be superior to that on strong trends. Furthermore, the group whose attention was drawn to the direction and strength of each trend via the additional questions performed better on some aspects of the task than did their "no-additional questions" counterparts. Consistency was generally poor, with ascending trends being perceived as being stronger than descending trends. The results are discussed in terms of their implications for the use and design of forecasting support systems. (C) 2012 International Institute of Forecasters. Published by Elsevier B.V. All rights reserved.

Subject Keywords

Judgmental Forecasting, Probability Forecasting, Trend Strength, Trend Direction, Consistency, Damping, Exchange Rate

URI

https://hdl.handle.net/11511/56346

Journal

INTERNATIONAL JOURNAL OF FORECASTING

DOI

https://doi.org/10.1016/j.ijforecast.2012.03.004

Collections

Department of Business Administration, Article

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Citation Formats

M. E. Thomson, A. C. Pollock, M. S. Gönül, and D. ÖNKAL, “Effects of trend strength and direction on performance and consistency in judgmental exchange rate forecasting,” INTERNATIONAL JOURNAL OF FORECASTING, pp. 337–353, 2013, Accessed: 00, 2020. [Online]. Available: https://hdl.handle.net/11511/56346.