Exchange rate forecasting with information flow approach

Research output: Contribution to journalArticle

1 Citation (Scopus)

Abstract

The purpose of this article is to assess exchange rate forecasting possibilities with an information flow approach model. In the model the three types of information flows are distinguished: fundamental analysis information flow through particular macroeconomic determinants, microstructure approach information flow through dealer clients’ positioning data, technical analysis information flow through technical indicators. By using regression analysis it is shown that the composed model can forecast the exchange rate, the most significant information flows are distinguished. The results lead to further development of the information flow approach as a tool to forecast exchange rate fluctuations.
Original languageEnglish
Pages (from-to)109-116
JournalBusiness: Theory and Practice
Volume17
Issue number2
DOIs
Publication statusPublished - 2016

Fingerprint

Information flow
Exchange rate forecasting
Positioning
Regression analysis
Technical analysis
Macroeconomics
Exchange rate fluctuations
Exchange rates
Fundamental analysis
Microstructure
Dealers

Keywords

  • Foreign exchange market
  • Information flow approach
  • Microstructure approach
  • Fundamental models
  • Technical analysis

Cite this

Exchange rate forecasting with information flow approach. / Mačerinskienė, Irena ; Balčiūnas, Andrius.

In: Business: Theory and Practice, Vol. 17, No. 2, 2016, p. 109-116.

Research output: Contribution to journalArticle

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