Currency forecasting: an investigation of extrapolative judgement
Thomson, M. E.
Onkal Atay, D.
Pollock, A. C.
International Journal of Forecasting
509 - 526
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Wilkie-Thomson, M. E., Önkal-Atay, D., & Pollock, A. C. (1997). Currency forecasting: an investigation of extrapolative judgement. International Journal of Forecasting, 13(4), 509-526.
Please cite this item using this persistent URLhttp://hdl.handle.net/11693/11045
This paper aims to explore the potential effects of trend type, noise and forecast horizon on experts' and novices' probabilistic forecasts. The subjects made forecasts over six time horizons from simulated monthly currency series based on a random walk, with zero, constant and stochastic drift, at two noise levels. The difference between the Mean Absolute Probability Score of each participant and an AR(1) model was used to evaluate performance. The results showed that the experts performed better than the novices, although worse than the model except in the case of zero drift series. No clear expertise effects occurred over horizons, albeit subjects' performance relative to the model improved as the horizon increased. Possible explanations are offered and some suggestions for future research are outlined.