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

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


Effect of Using Regression in Sentiment Analysis
Onal, Itir; Ertuğrul, Ali Mert (2014-04-25)
In this study, the effect of using regression on sentiment classification of Twitter data was analyzed. In other words, whether the strength of sentiment better discriminates the classes or not. Since our dataset includes class confidence scores rather than discrete class labels, regression analysis was employed on each class separately. Then, each tweet was assigned the class whose estimated confidence score is maximum among others after regression. The feature set used includes unigrams, POS tags, emotico...
Forecasting BIST-100 Price Index
Yetginer, Buğra; Yıldırım Kasap, Dilem; Department of Economics (2017)
The ultimate goal of this study is to forecast the BIST-100 Price Index using its mostly significative macroeconomic and financial determinants. For this aim, we have adopted an exhaustive search algorithm which takes the advantage of theoretical candidate variables to find the possible effects of these variables on the BIST-100 Price Index. The algorithm, which is built in the form of linear ARIMAX models, is to exploit every possible combination of explanatory variables to capture the behaviour of the ind...
Aslan, Mustafa; Gaygısız Lajunen, Esma; Department of Financial Mathematics (2021-8-04)
This study examines the effects of the exchange rate volatility and the firm-specific features representing the liquidity, profitability, and leverage performance of firms on excess stock returns for the manufacturing firms listed in Borsa İstanbul (BIST) using dynamic panel data model. The exchange rate volatility is modeled by single regime generalized autoregressive conditional heteroscedasticity (GARCH) models and Markov-switching GARCH (MSGARCH) models. The MSGARCH models show evidence that the evoluti...
Macroeconomic announcements and intraday stock market volatility
Yılmaz, Berna Nisa; Danışoğlu, Seza; Department of Financial Mathematics (2017)
This study examines the effects of interest and inflation rate announcements on stock market volatility by using a standard event study methodology. The BIST-30 Index volatility is modelled and forecasted by the multiplicative component GARCH model. This is one of the first studies where the announcement effects are analyzed on the basis of volatility forecasts produced by the multiplicative component GARCH. The announcement effects are observed clearly with the advantage of using high-frequency data. While...
Effects of random yield in remanufacturing with price-sensitive supply and demand
Bakal, İsmail Serdar; Akcali, Elif (2006-09-01)
In this study, we investigate the effects of recovery yield rate on pricing decisions in reverse supply chains. Motivated by the automotive parts remanufacturing industry, we consider an end-of-life product from which a particular part can be recovered and remanufactured for reuse, and the remainder of the product can be recycled for material recovery. Both the supply of end-of-life products and demand for remanufactured parts are price-sensitive. Yield of the recovery process is random and depends on the a...
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.