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

Thomson, Mary, Pollock, Andrew, Gönül, Sinan and Önkal, Dilek (2013) Effects of trend strength and direction on performance and consistency in judgmental exchange rate forecasting. International Journal of Forecasting, 29 (2). pp. 337-353. ISSN 0169-2070

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Official URL: http://dx.doi.org/10.1016/j.ijforecast.2012.03.004

Abstract

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.

Item Type: Article
Uncontrolled Keywords: Judgmental forecasting, probability forecasting, trend strength, trend direction, consistency, damping; exchange rate
Subjects: L100 Economics
N900 Others in Business and Administrative studies
Department: Faculties > Business and Law > Newcastle Business School > Business and Management
Depositing User: Ay Okpokam
Date Deposited: 08 Oct 2013 13:23
Last Modified: 10 Aug 2015 10:58
URI: http://nrl.northumbria.ac.uk/id/eprint/13824

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