Perfecting a Video Game with Game Metrics
Vol 15, No 3: September 2017

Brown’s Weighted Exponential Moving Average Implementation in Forex Forecasting

Seng Hansun (Universitas Multimedia Nusantara)
Subanar Subanar (Universitas Gadjah Mada)



Article Info

Publish Date
01 Sep 2017

Abstract

In 2016, a time series forecasting technique which combined the weighting factor calculation formula found in weighted moving average with Brown’s double exponential smoothing procedures had been introduced. The technique is known as Brown’s weighted exponential moving average (B-WEMA), as a new variant of double exponential smoothing method which does the exponential filter processes twice. In this research, we will try to implement the new method to forecast some foreign exchange, or known as forex data, including EUR/USD, AUD/USD, GBP/USD, USD/JPY, and EUR/JPY data. The time series data forecasting results using B-WEMA then be compared with other conventional and hybrid moving average methods, such as weighted moving average (WMA), exponential moving average (EMA), and Brown’s double exponential smoothing (B-DES). The comparison results show that B-WEMA has a better accuracy level than other forecasting methods used in this research.

Copyrights © 2017






Journal Info

Abbrev

TELKOMNIKA

Publisher

Subject

Computer Science & IT

Description

Submitted papers are evaluated by anonymous referees by single blind peer review for contribution, originality, relevance, and presentation. The Editor shall inform you of the results of the review as soon as possible, hopefully in 10 weeks. Please notice that because of the great number of ...