標題: | A Hybrid Forecasting Model for Foreign Exchange Rate Based on a Multi-neural Network |
作者: | Chen, An-Pin Hsu, Yu-Chia Hu, Ko-Fei 資訊管理與財務金融系 註:原資管所+財金所 Department of Information Management and Finance |
公開日期: | 2008 |
摘要: | In this work, a multi-neural network model consisting of three sub-networks and one master network is proposed to combine the fundamental theorem and technical analysis in TWD/USD exchange rate forecasting. The long-term, mid-term, and short-term tendencies of exchange rate are forecasted separately by different sub-networks. Five macro economics factors of price level, interest rates, money supply, imports/exports, and productivity, and seven practical technical indicators of fifteen-day and one-day intervals are selected as the input variables of the three sub-networks. The master network then provides the integrated forecasting according to the three sub-networks. To increase forecasting accuracy, a threshold filtering mechanism was applied in this work. The experiment result shows that the multi-neural network is more effective than the random walk model and single-neural network model, and with the threshold filtering can achieve high accuracy. |
URI: | http://hdl.handle.net/11536/686 http://dx.doi.org/10.1109/ICNC.2008.298 |
ISBN: | 978-0-7695-3304-9 |
DOI: | 10.1109/ICNC.2008.298 |
期刊: | ICNC 2008: FOURTH INTERNATIONAL CONFERENCE ON NATURAL COMPUTATION, VOL 5, PROCEEDINGS |
起始頁: | 293 |
結束頁: | 298 |
Appears in Collections: | Conferences Paper |
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