Major FX Forecasting with Hybrid Moving Average Approach

  • Authors

    • Seng Hansun
    • Marcel Bonar Kristanda
    2018-12-16
    https://doi.org/10.14419/ijet.v7i4.40.24388
  • forecasting error, foreign exchange, major currency pairs, Phatsa, Weighted Exponential Moving Average.

  • Abstract

    Foreign Exchange (FX) is a conversion from one currency to another one and it can be seen as a discrete time series data. FX market has become one of the largest markets with more than trillions of dollars are traded every day. Therefore, the needs to capture FX transaction data pattern from historical data and used them to forecast future values have become a major issue. In this study, we tried to forecast the future values of FX transaction data using a relatively new moving average (MA) method, called as Weighted Exponential Moving Average (WEMA). Seven major currency pairs were being considered to be forecasted. Mean Square Error (MSE) and Mean Absolute Percentage Error (MAPE) criteria were used to measure the accuracy level of the applied method. From experimental results on Phatsa framework, we found that WEMA can be used to predict future values of all major currency pairs used in this study.

     

     

     

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  • How to Cite

    Hansun, S., & Bonar Kristanda, M. (2018). Major FX Forecasting with Hybrid Moving Average Approach. International Journal of Engineering & Technology, 7(4.40), 108-111. https://doi.org/10.14419/ijet.v7i4.40.24388

    Received date: 2018-12-19

    Accepted date: 2018-12-19

    Published date: 2018-12-16