Exchange Rate Forecasting Using Flexible Neural Trees
Forecasting exchange rates is an important financial problem that is receiving increasing attention especially because of its difficulty and practical applications. This paper proposes a Flexible Neural Tree (FNT) model for forecasting three major international currency exchange rates. Based on the pre-defined instruction sets, a flexible neural tree model can be created and evolved. This framework allows input variables selection, over-layer connections and different activation functions for the various nodes involved. The FNT structure is developed using the Extended Compact Genetic Programming and the free parameters embedded in the neural tree are optimized by particle swarm optimization algorithm. Empirical results indicate that the proposed method is better than the conventional neural network forecasting models.
KeywordsExchange Rate Particle Swarm Optimization Normalize Mean Square Error Foreign Exchange Rate Input Variable Selection
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