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

被引：5

作者：

Thomson, Mary E. ^{[1
]}

Pollock, Andrew C. ^{[2
]}

Gonul, M. Sinan ^{[3
]}

Onkal, Dilek ^{[4
]}

机构：

[1] Glasgow Caledonian Univ, Dept Psychol & Allied Hlth Sci, Glasgow G4 0BA, Lanark, Scotland

[2] Glasgow Caledonian Univ, Div Comp Commun & Interact Syst, Glasgow G4 0BA, Lanark, Scotland

[3] Middle E Tech Univ, Dept Business Adm, TR-06800 Ankara, Turkey

[4] Bilkent Univ, Fac Business Adm, TR-06800 Ankara, Turkey

来源：

INTERNATIONAL JOURNAL OF FORECASTING | 2013年 / 29卷 / 02期

关键词：

Judgmental forecasting; Probability forecasting; Trend strength; Trend direction; Consistency; Damping; Exchange rate; TIME-SERIES; PROBABILISTIC FORECASTS; STOCK-PRICES; ACCURACY; MISPERCEPTION; EXTRAPOLATION; EARNINGS; FORMAT;

D O I：

10.1016/j.ijforecast.2012.03.004

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

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.

引用

页码：337 / 353

页数：17

共 56 条

[11]

Bartos J. A., 1969, THESIS INDIANA U

[12] Coherence and consistency of investors' probability judgments [J].

Budescu, David V. ;

Du, Ning .

MANAGEMENT SCIENCE, 2007, 53 (11) :1731-1744

[13] Currency traders and exchange rate dynamics: a survey of the US market [J].

Cheung, YW ;

Chinn, MD .

JOURNAL OF INTERNATIONAL MONEY AND FINANCE, 2001, 20 (04) :439-471

[14] RULE-BASED FORECASTING - DEVELOPMENT AND VALIDATION OF AN EXPERT SYSTEMS-APPROACH TO COMBINING TIME-SERIES EXTRAPOLATIONS [J].

COLLOPY, F ;

ARMSTRONG, JS .

MANAGEMENT SCIENCE, 1992, 38 (10) :1394-1414

[15]

De Bondt WF, 1995, HBK OPERAT RES MANAG

[16] INTUITIVE TIME-SERIES EXTRAPOLATION [J].

EGGLETON, IRC .

JOURNAL OF ACCOUNTING RESEARCH, 1982, 20 (01) :68-102

[17] Effective forecasting and judgmental adjustments: an empirical evaluation and strategies for improvement in supply-chain planning [J].

Fildes, Robert ;

Goodwin, Paul ;

Lawrence, Michael ;

Nikolopoulos, Konstantinos .

INTERNATIONAL JOURNAL OF FORECASTING, 2009, 25 (01) :3-23

[18] FORECASTING TRENDS IN TIME-SERIES [J].

GARDNER, ES ;

MCKENZIE, E .

MANAGEMENT SCIENCE, 1985, 31 (10) :1237-1246

[19]

Glaser M., 2007, Decision Analysis, V4, P176, DOI [10.1287/deca.1070.0099, DOI 10.1287/DECA.1070.0099]

[20]

Glaser Markus., 2007, Review of Finance, V11, P325, DOI [10.1093/rof/rfm008, DOI 10.1093/ROF/RFM008, DOI 10.1093/rof/rfm008]

← 1 2 3 4 5 6 →