Forecasting foreign exchange rates using high frequency data

Type Research Project

Duration May 1, 1999 - June 30, 2002

  • Operations Research AE (Former organization)


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  • Geyer, Alois (Details) Project Head
  • Trapletti, Adrian (Former researcher)

Abstract (English)

We use high frequency (intraday) data of the USD-JPY, USD-DEM and JPY-DEM exchange rates. Out-of-sample forecasts can be improved over the naive martingale if the seasonality introduced by market activities and the cointegration relationship between the triangle of exchange rates is taken into account. <br>Cointegration analysis


Journal article

2002 Trapletti, Adrian, Geyer, Alois, Leisch, Friedrich. 2002. Forecasting Exchange Rates using Cointegration Models and Intra-day Data. Journal of Forecasting, 21, 151-166 (Details)



  • exchange rate