An application of adjusted AR model and Markov chains in the forecast of ezchange rate of RMB

摘要：

This article used statistical data of recent two years. Under the condition that RMB satisfies Markov property, we used Markov Chain to compute the frequency matrix and transition probability matrix and moreover, we predicted the future trend of exchange rate. We also simulated the original data using AR model, and added residual factor that is from analysis of Markov Chain. Finally, we got a model which is better than traditional ARIMA model. According to the errors of our result, we analyzed the reason of these errors and its effect to exchange rate, and proposed suggestions to improve the method.

作者: Yi Jiang Li Hua Wu Peng He

作者单位: Department of Computer Science, Xiamen University, Xiamen, 361005, China Department of Finance, Xiamen University, Xiamen, 361005, China

会议类型: 国际会议

会议名称: 2009 IEEE International Symposium on IT in Medicine & Education( IEEE 教育与医药信息化国际会议)

会议地点: 济南

会议语种:英文

页码: 1202-1207

在线出版日期: 2009-08-14（万方平台首次上网日期，不代表论文的发表时间）