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Project Information

Category: Information Technology - Business Process Outsourcing (IT-BPM)
Subcategory: IT-BPM business development

The Accuracy Rate of Holt-Winters Model with Particle Swarm Optimization in Forecasting Exchange Rates

Conducted by NwSSU Completed on 2016
Completed Published Total Page Views : 425 Total Likes : 89 Like

Exchange rates forecasting is a crucial and challenging task. Accurate forecasting of the imminent movements of exchange rates is very important in investments, trade and economics. In this paper, an exponential smoothing using the Holt-Winters Model is used for forecasting exchange rates. Parameter search for the smoothing constants is done through computer simulation using Particle Swarm Optimization (PSO). Experiment results show that PSO is able to compute good values for the smoothing constants, producing forecasts with accuracy in determining the direction (rise or fall) of exchange rates. Furthermore, the computed Mean Absolute Deviation (MAD) and the Residual Standard Error (RSE) of the exchange rate forecasts from the actual observed data indicate that PSO can also be used to improve forecasting precision.

Proponents
Riz Rupert L. Ortiz
Beneficiaries
exchange rates forecasters
Fund Source
Northwest Samar State University, Samar, Philippines
No. of Patents
0
No. of Utility Models
0
How to Cite
Ortiz, R. R. L. (2016). The accuracy rate of Holt-Winters model with particle swarm optimization in forecasting exchange rates. parameters, 8, 9.
Remarks
Key words: Simulation, forecasting, holt-winters model, particle swarm optimization.

Agency Details

Northwest Samar State University
Rueda St., Brgy Balud, Calbayog City, Samar
Phone: (055) 209-3657 ; (055) 533-9857
Email: [email protected]