{"id":"https://openalex.org/W2623968689","doi":null,"title":"Predictability of Foreign Exchange Rates with the AR(1) Model","display_name":"Predictability of Foreign Exchange Rates with the AR(1) Model","publication_year":2017,"publication_date":"2017-01-01","ids":{"openalex":"https://openalex.org/W2623968689","mag":"2623968689"},"language":"en","primary_location":{"id":"pmh:oai:RePEc:spt:apfiba:v:7:y:2017:i:4:f:7_4_3","doi":null,"is_oa":false,"landing_page_url":"http://www.scienpress.com/Upload/JAFB%2fVol%207_4_3.pdf","pdf_url":"http://www.scienpress.com/Upload/JAFB%2fVol%207_4_3.pdf","source":{"id":"https://openalex.org/S4306401271","display_name":"RePEc: Research Papers in Economics","issn_l":null,"issn":null,"is_oa":false,"is_in_doaj":false,"is_core":false,"listed_in":[],"host_organization":"https://openalex.org/I77793887","host_organization_name":"Federal Reserve Bank of St. Louis","host_organization_lineage":["https://openalex.org/I77793887"],"host_organization_lineage_names":[],"type":"repository"},"license":null,"license_id":null,"version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":null,"raw_type":"article"},"volume":null,"type":"article","is_traditional":true,"indexed_in":[],"open_access":{"is_oa":false,"oa_status":"closed","oa_url":null,"any_repository_has_fulltext":false},"authorships":[{"author_position":"first","author":{"id":"https://openalex.org/A5026907889","display_name":"Andreas Hadjixenophontos","orcid":null,"observed_orcids":[]},"institutions":[],"countries":[],"is_corresponding":false,"raw_author_name":"Andreas Hadjixenophontos","raw_affiliation_strings":[],"raw_orcid":null,"affiliations":[]},{"author_position":"last","author":{"id":"https://openalex.org/A5037672655","display_name":"Christos N. Christodoulou-Volos","orcid":"https://orcid.org/0000-0002-3188-844X","observed_orcids":["https://orcid.org/0000-0002-3188-844X"]},"institutions":[],"countries":[],"is_corresponding":false,"raw_author_name":"Christos Christodoulou-Volos","raw_affiliation_strings":[],"raw_orcid":null,"affiliations":[]}],"institutions":[],"countries_distinct_count":0,"institutions_distinct_count":0,"corresponding_author_ids":[],"corresponding_institution_ids":[],"apc_list":null,"apc_paid":null,"fwci":0.0,"has_fulltext":false,"cited_by_count":1,"citation_normalized_percentile":{"value":0.08940478,"is_in_top_1_percent":false,"is_in_top_10_percent":false},"cited_by_percentile_year":{"min":87,"max":92},"biblio":{"volume":"7","issue":"4","first_page":"1","last_page":"3"},"is_retracted":false,"is_paratext":false,"is_xpac":false,"primary_topic":{"id":"https://openalex.org/T10047","display_name":"Financial Markets and Investment Strategies","score":0.9071999788284302,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},"topics":[{"id":"https://openalex.org/T10047","display_name":"Financial Markets and Investment Strategies","score":0.9071999788284302,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T11918","display_name":"Forecasting Techniques and Applications","score":0.035999998450279236,"subfield":{"id":"https://openalex.org/subfields/1803","display_name":"Management Science and Operations Research"},"field":{"id":"https://openalex.org/fields/18","display_name":"Decision Sciences"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T11326","display_name":"Stock Market Forecasting Methods","score":0.03449999913573265,"subfield":{"id":"https://openalex.org/subfields/1803","display_name":"Management Science and Operations Research"},"field":{"id":"https://openalex.org/fields/18","display_name":"Decision Sciences"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}}],"keywords":[{"id":"https://openalex.org/keywords/exchange-rate-predictability","display_name":"exchange rate predictability","score":0.8759999871253967},{"id":"https://openalex.org/keywords/autoregressive-models","display_name":"autoregressive models","score":0.7620000243186951},{"id":"https://openalex.org/keywords/technical-trading-rules","display_name":"technical trading rules","score":0.8479999899864197},{"id":"https://openalex.org/keywords/exchange-rates","display_name":"exchange rates","score":0.5730000138282776},{"id":"https://openalex.org/keywords/euro-dollar-exchange-rate","display_name":"euro-dollar exchange rate","score":0.8299999833106995},{"id":"https://openalex.org/keywords/exchange-rate-forecasting","display_name":"exchange rate forecasting","score":0.6190000176429749}],"concepts":[{"id":"https://openalex.org/C24338571","wikidata":"https://www.wikidata.org/wiki/Q2566298","display_name":"Autoregressive integrated moving average","level":3,"score":0.7902880907058716},{"id":"https://openalex.org/C162324750","wikidata":"https://www.wikidata.org/wiki/Q8134","display_name":"Economics","level":0,"score":0.6709761619567871},{"id":"https://openalex.org/C2776988154","wikidata":"https://www.wikidata.org/wiki/Q66100","display_name":"Exchange rate","level":2,"score":0.643652617931366},{"id":"https://openalex.org/C149782125","wikidata":"https://www.wikidata.org/wiki/Q160039","display_name":"Econometrics","level":1,"score":0.6279382705688477},{"id":"https://openalex.org/C159877910","wikidata":"https://www.wikidata.org/wiki/Q2202883","display_name":"Autoregressive model","level":2,"score":0.6214727163314819},{"id":"https://openalex.org/C197640229","wikidata":"https://www.wikidata.org/wiki/Q2534066","display_name":"Predictability","level":2,"score":0.6164865493774414},{"id":"https://openalex.org/C109168655","wikidata":"https://www.wikidata.org/wiki/Q242988","display_name":"Liberian dollar","level":2,"score":0.5782860517501831},{"id":"https://openalex.org/C536366893","wikidata":"https://www.wikidata.org/wiki/Q66076","display_name":"Foreign exchange market","level":3,"score":0.5204282402992249},{"id":"https://openalex.org/C2983132609","wikidata":"https://www.wikidata.org/wiki/Q66076","display_name":"Foreign exchange","level":2,"score":0.44513189792633057},{"id":"https://openalex.org/C556758197","wikidata":"https://www.wikidata.org/wiki/Q580018","display_name":"Monetary economics","level":1,"score":0.4180123209953308},{"id":"https://openalex.org/C106159729","wikidata":"https://www.wikidata.org/wiki/Q2294553","display_name":"Financial economics","level":1,"score":0.3932475745677948},{"id":"https://openalex.org/C33923547","wikidata":"https://www.wikidata.org/wiki/Q395","display_name":"Mathematics","level":0,"score":0.19418489933013916},{"id":"https://openalex.org/C105795698","wikidata":"https://www.wikidata.org/wiki/Q12483","display_name":"Statistics","level":1,"score":0.18883660435676575},{"id":"https://openalex.org/C151406439","wikidata":"https://www.wikidata.org/wiki/Q186588","display_name":"Time series","level":2,"score":0.17837399244308472},{"id":"https://openalex.org/C10138342","wikidata":"https://www.wikidata.org/wiki/Q43015","display_name":"Finance","level":1,"score":0.10710304975509644}],"mesh":[],"locations_count":2,"locations":[{"id":"pmh:oai:RePEc:spt:apfiba:v:7:y:2017:i:4:f:7_4_3","doi":null,"is_oa":false,"landing_page_url":"http://www.scienpress.com/Upload/JAFB%2fVol%207_4_3.pdf","pdf_url":"http://www.scienpress.com/Upload/JAFB%2fVol%207_4_3.pdf","source":{"id":"https://openalex.org/S4306401271","display_name":"RePEc: Research Papers in Economics","issn_l":null,"issn":null,"is_oa":false,"is_in_doaj":false,"is_core":false,"listed_in":[],"host_organization":"https://openalex.org/I77793887","host_organization_name":"Federal Reserve Bank of St. Louis","host_organization_lineage":["https://openalex.org/I77793887"],"host_organization_lineage_names":[],"type":"repository"},"license":null,"license_id":null,"version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":null,"raw_type":"article"},{"id":"mag:2623968689","doi":null,"is_oa":false,"landing_page_url":"https://econpapers.repec.org/RePEc:spt:apfiba:v:7:y:2017:i:4:f:7_4_3","pdf_url":null,"source":{"id":"https://openalex.org/S2764458166","display_name":"Journal of Applied Finance and Banking","issn_l":"1792-6599","issn":["1792-6599"],"is_oa":false,"is_in_doaj":false,"is_core":true,"listed_in":["cwts-core"],"host_organization":null,"host_organization_name":null,"host_organization_lineage":[],"host_organization_lineage_names":[],"type":"journal"},"license":null,"license_id":null,"version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":"Journal of Applied Finance and Banking","raw_type":null}],"best_oa_location":null,"sustainable_development_goals":[],"study_designs":[],"awards":[],"funders":[],"has_content":{"pdf":false,"grobid_xml":false},"content_urls":null,"referenced_works_count":27,"referenced_works":["https://openalex.org/W1508947067","https://openalex.org/W1966106237","https://openalex.org/W1986638341","https://openalex.org/W1986782333","https://openalex.org/W1989275788","https://openalex.org/W1999996900","https://openalex.org/W2002393636","https://openalex.org/W2006209738","https://openalex.org/W2039062810","https://openalex.org/W2041462006","https://openalex.org/W2085603281","https://openalex.org/W2092729734","https://openalex.org/W2104955455","https://openalex.org/W2110374348","https://openalex.org/W2117019869","https://openalex.org/W2130180922","https://openalex.org/W2132507817","https://openalex.org/W2134658143","https://openalex.org/W2134918899","https://openalex.org/W2145080968","https://openalex.org/W2165970714","https://openalex.org/W2171315676","https://openalex.org/W2280658632","https://openalex.org/W2891985843","https://openalex.org/W3122440986","https://openalex.org/W3125011999","https://openalex.org/W3216921004"],"related_works":["https://openalex.org/W2283684474","https://openalex.org/W4362564558","https://openalex.org/W7057997907","https://openalex.org/W4385585853","https://openalex.org/W4290700076","https://openalex.org/W4220909192","https://openalex.org/W7162486622","https://openalex.org/W7217603744","https://openalex.org/W3179195763","https://openalex.org/W2388250215"],"abstract_inverted_index":{"Many":[0],"authors":[1],"have":[2],"investigated":[3],"the":[4,29,44,47,49,52,56,59,73,76,114,118,130,141,146,152,162],"possibility":[5],"of":[6,82,87,132,143],"predictability":[7],"in":[8,21,129,140],"asset":[9],"returns,":[10],"but":[11,136],"very":[12],"little":[13],"supportive":[14],"evidence":[15],"has":[16],"so":[17],"far":[18],"been":[19],"found":[20],"exchange":[22,41,111,166,174],"rate":[23],"returns.":[24],"This":[25],"empirical":[26],"study":[27,37],"uses":[28],"econometric":[30],"model":[31,71,78],"ARIMA":[32,67],"(1,":[33,68],"0,":[34,69,124],"0)":[35,70,125],"to":[36,104],"three":[38,109],"different":[39],"foreign":[40,110,165],"rates,":[42],"namely":[43],"euro":[45,50,57,133,144,150],"and":[46,51,55,58,91,106,149],"dollar,":[48],"Hungarian":[53,147],"forint":[54,148],"Korean":[60,153],"won.":[61,154],"It":[62],"is":[63,72,101,126,138],"worth":[64],"mentioning":[65],"that":[66,99],"same":[74],"as":[75,80],"autoregressive":[77,89,115],"AR(1),":[79],"both":[81],"them":[83],"are":[84],"made":[85,160],"up":[86],"one":[88],"parameter":[90],"no":[92],"moving":[93],"average":[94],"parameters.":[95],"The":[96],"results":[97],"show":[98],"it":[100,137],"not":[102,127],"possible":[103],"explain":[105],"predict":[107],"all":[108],"rates":[112],"using":[113],"model.":[116],"Specifically,":[117],"technical":[119],"rule":[120],"on":[121],"transactions":[122],"ARIMA(1,":[123],"effective":[128,139],"case":[131,142],"vs":[134,145],"dollar":[135],"v-s":[151],"Fairly":[155],"accurate":[156],"predictions":[157],"can":[158],"be":[159],"regarding":[161],"last":[163],"two":[164],"relationships.JEL":[167],"classification":[168],"numbers:":[169],"F31,":[170],"F37,":[171],"G14Keywords:":[172],"Foreign":[173],"market;":[175],"Exchange":[176],"Rate,":[177],"Technical":[178],"Trading,":[179],"Speculation,":[180],"forecasting":[181]},"counts_by_year":[{"year":2021,"cited_by_count":1}],"updated_date":"2026-10-14T16:39:01.820549","created_date":"2017-06-15T00:00:00"}