Abstract
This study proposes a novel forecasting approach – an adaptive smoothing neural network (ASNN) – to predict foreign exchange rates. In this new model, adaptive smoothing techniques are used to adjust the neural network learning parameters automatically by tracking signals under dynamic varying environments. The ASNN model can make the network training process and convergence speed faster, and make network’s generalization stronger than the traditional multi-layer feed-forward network (MLFN) model does. To verify the effectiveness of the proposed model, three major international currencies (British pounds, euros and Japanese yen) are chosen as the forecasting targets. Empirical analyses reveal that the proposed novel forecasting model outperforms the other comparable models. Furthermore, experimental results also show that the proposed model is an effective alternative approach for foreign exchange rate forecasting.
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Keywords
- Exchange Rate
- Recurrent Neural Network
- General Regression Neural Network
- Mean Absolute Deviation
- Normalize Mean Square Error
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Yu, L., Wang, S., Lai, K.K. (2005). Adaptive Smoothing Neural Networks in Foreign Exchange Rate Forecasting. In: Sunderam, V.S., van Albada, G.D., Sloot, P.M.A., Dongarra, J. (eds) Computational Science – ICCS 2005. ICCS 2005. Lecture Notes in Computer Science, vol 3516. Springer, Berlin, Heidelberg. https://doi.org/10.1007/11428862_72
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DOI: https://doi.org/10.1007/11428862_72
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