Foreign-Exchange-Rate Forecasting with Artificial Neural Networks

The foreign exchange market is one of the most complex dynamic markets with the characteristics of high volatility, nonlinearity and irregularity. Since the Bretton Woods System collapsed in 1970s, the fluctuations in the foreign exchange market are more volatile than ever. Furthermore, some importa...

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Main Authors: Yu, Lean, Wang, Shouyang (Author), Lai, Kin Keung (Author)
Corporate Author: SpringerLink (Online service)
Format: eBook
Language:English
Published: New York, NY Springer US 2007, 2007
Edition:1st ed. 2007
Series:International Series in Operations Research & Management Science
Subjects:
Online Access:
Collection: Springer eBooks 2005- - Collection details see MPG.ReNa
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245 0 0 |a Foreign-Exchange-Rate Forecasting with Artificial Neural Networks  |h Elektronische Ressource  |c by Lean Yu, Shouyang Wang, Kin Keung Lai 
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300 |a XXIII, 316 p  |b online resource 
505 0 |a Preface -- Are foreign exchange rates predictable? An anatomy of a survey from artificial neural networks perspective -- Basic principles of ANN algorithms -- Data preparation in neural network data analysis -- Forecasting foreign exchange rates using an adaptive back-propagation algorithm with optimal learning rate and momentum factor -- An online learning algorithm with adaptive forgetting factors for BP neural network in foreign exchange rate forecasting -- An improved BP algorithm with adaptive smoothing momentum terms for foreign exchange rate prediction -- Hybridizing BPNN and exponential smoothing for foreign exchange rate prediction -- A nonlinear combined model integrating ANN and GLAR for exchange rate forecasting -- A hybrid GA-based SVM model for foreign exchange market trends exploration -- Forecasting foreign exchange rates with a multistage neural network ensemble model -- Foreign exchange rate ensemble forecasting with neural network meta-learning -- A confidence-bas 
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653 |a Finance 
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653 |a Artificial Intelligence 
653 |a Finance, general 
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653 |a Macroeconomics/Monetary Economics//Financial Economics 
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653 |a Operations Research/Decision Theory 
653 |a Quantitative Finance 
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700 1 |a Lai, Kin Keung  |e [author] 
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520 |a The foreign exchange market is one of the most complex dynamic markets with the characteristics of high volatility, nonlinearity and irregularity. Since the Bretton Woods System collapsed in 1970s, the fluctuations in the foreign exchange market are more volatile than ever. Furthermore, some important factors, such as economic growth, trade development, interest rates and inflation rates, have significant impacts on the exchange rate fluctuation. Meantime, these characteristics also make it extremely difficult to predict foreign exchange rates. Therefore, exchange rates forecasting has become a very important and challenge research issue for both academic and ind- trial communities. In this monograph, the authors try to apply artificial neural networks (ANNs) to exchange rates forecasting. Selection of the ANN approach for - change rates forecasting is because of ANNs’ unique features and powerful pattern recognition capability. Unlike most of the traditional model-based forecasting techniques, ANNs are a class of data-driven, self-adaptive, and nonlinear methods that do not require specific assumptions on the und- lying data generating process. These features are particularly appealing for practical forecasting situations where data are abundant or easily available, even though the theoretical model or the underlying relationship is - known. Furthermore, ANNs have been successfully applied to a wide range of forecasting problems in almost all areas of business, industry and engineering. In addition, ANNs have been proved to be a universal fu- tional approximator that can capture any type of complex relationships