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Linear relationship between the AUD/USD exchange rate and the respective stock market indices : a computational finance perspective

หน่วยงาน Central Queensland University, Australia

รายละเอียด

ชื่อเรื่อง : Linear relationship between the AUD/USD exchange rate and the respective stock market indices : a computational finance perspective
นักวิจัย : Imam, Tasadduq. , Tickle, Kevin. , Ahmed, Abdullahi Dahir. , Guo, Wanwu.
คำค้น : International finance. , Applied research. , 900199 Financial Services not elsewhere classified. , 890205 Information Processing Services (incl. Data Entry and Capture) , 150299 Banking, Finance and Investment not elsewhere classified. , 150308 International Business. , 150399 Business and Management not elsewhere classified. , Foreign exchange rates. , Stock exchanges. , All Ordinaries Index (AOI) -- AUD/USD exchange rate -- Computational intelligence -- Dow Jones Industrial Average (DJI) -- Forecast , Journal Article. Refereed, Scholarly Journal
หน่วยงาน : Central Queensland University, Australia
ผู้ร่วมงาน : -
ปีพิมพ์ : 2555
อ้างอิง : http://hdl.cqu.edu.au/10018/928017
ที่มา : Imam, T, Tickle, K, Ahmed, A & Guo, W 2012, 'Linear relationship between the AUD/USD exchange rate and the respective stock market indices: a computational finance perspective', Intelligent Systems in Accounting, Finance and Management, vol. 19, no.1. , pp. 19-42, http://dx.doi.org/10.1002/isaf.332
ความเชี่ยวชาญ : -
ความสัมพันธ์ : Intelligent systems in accounting, finance and management. Malden MA : Wiley , 2012. Vol. 19, no. 1 (2012), p. 19-42 24 pages Refereed 1055-615X 1099-1174 (online) , ACQUIRE [electronic resource] : Central Queensland University Institutional Repository.
ขอบเขตของเนื้อหา : -
บทคัดย่อ/คำอธิบาย :

In the recent era, computational intelligence techniques have found an increased popularity in addressing varied financial issues, including foreign exchange rate prediction. This article, through an intelligent system research framework, relates the Australian dollar (AUD)/US dollar (USD) exchange rate to the Australian and the US stockmarket indices. Information for exchange rate, All Ordinaries Index (AOI) and Dow Jones Industrial Average (DJI) for the trading days over the period January 1991–May 2011 is considered in this research. Utilizing a set of statistical and computational intelligence techniques, the research establishes that the AUD/USD exchange rate is best estimated by a linear forecast model compared with the nonlinear and ensemble-based intelligent system models. This research further highlights that, among the competing linear models, the model with both the stock market indices and historical exchange rate values as the predictors is the best forecaster. Parameters of the linear model are deduced through a Monte Carlo stochastic approach. Relative importance of the predictors is also studied, and the influence of historical exchange rates, the immediate impact of AOI and the lagged effect of DJI are noted.

บรรณานุกรม :
Imam, Tasadduq. , Tickle, Kevin. , Ahmed, Abdullahi Dahir. , Guo, Wanwu. . (2555). Linear relationship between the AUD/USD exchange rate and the respective stock market indices : a computational finance perspective.
    กรุงเทพมหานคร : Central Queensland University, Australia.
Imam, Tasadduq. , Tickle, Kevin. , Ahmed, Abdullahi Dahir. , Guo, Wanwu. . 2555. "Linear relationship between the AUD/USD exchange rate and the respective stock market indices : a computational finance perspective".
    กรุงเทพมหานคร : Central Queensland University, Australia.
Imam, Tasadduq. , Tickle, Kevin. , Ahmed, Abdullahi Dahir. , Guo, Wanwu. . "Linear relationship between the AUD/USD exchange rate and the respective stock market indices : a computational finance perspective."
    กรุงเทพมหานคร : Central Queensland University, Australia, 2555. Print.
Imam, Tasadduq. , Tickle, Kevin. , Ahmed, Abdullahi Dahir. , Guo, Wanwu. . Linear relationship between the AUD/USD exchange rate and the respective stock market indices : a computational finance perspective. กรุงเทพมหานคร : Central Queensland University, Australia; 2555.