A Study of Short-term Won/Doller Exchange rate Prediction Model using Hidden Markov Model
Jin-Ho Jeon, Minsoo Kim · 한국인터넷방송통신학회 논문지 · 2012
Abstract Forex trading participants, due to the intensified economic internationalization exchange risk avoidance measures are needed. In this research, Model suitable for estimation of time-series data, such as stock prices and exchange rates, through the concealment of HMM and estimate the short-term exchange rate forecasting model is applied to the prediction of the future. Estimated by applying the optimal model if the real exchange rate data for a certain period of the future will be able to predict the movement aspect of it. Alleged concealment of HMM. For the estimation of the model to accurately estimate the number of states of the model via Bayesian Information Criterion was confirmed as a model predictive aspect of physical exercise aspect and predict the movement of the two curves were similar. Key Words : Exchange Rate, Short-Term Prediction, BIC, Hidden Markov Model * 정회원, 관동대학교 경영학과 ** 정회원, 관동대학교 무역학과 (교신저자)접수일자: 2012년 8월 28일, 수정완료 : 2012년 9월 30일게재확정일자: 2012년 10월 12일Received: 28 August 2012 / Revised: 30 September 2012 /Accepted: 12 October 2012