Exchange Rate Prediction, Time Series Model

Solutions of optimal investment problems, considered in the previous chapter, depend on predicted stock rates. Predictions are needed considering most of the investment problems, because the result of an investment depends on future values of various parameters. Predictions are an important part of scheduling problems, too. The optimal schedules depend on the predicted demand, and supply. Time series models are common prediction tools. Here we investigate a well-known time series model. The so called, Auto Regressive Moving Average (ARMA) model. We briefly consider the Artificial Neural Network (ANN) and the Bilinear models, too.