A robust technique for exchange rate prediction using Wilcoxon Norm

Author

Mohapatra, U.M. ; Majhi, Banshidhar ; Rout, Minakhi

Author_Institution

Dept. of CA, Siksha O Anusandhan Univ., Bhubaneswar, India

fYear

2012

fDate

30-31 March 2012

Firstpage

536

Lastpage

541

Abstract

In this paper, the rank based Wilcoxon norm is used with the neural network to predict exchange rate values when the training data is corrupted with 10%-40% of outliers. The multilayer neural network(MLANN) with Euclidean norm does not seem robust in the presence of outliers. In the contrary, Wilcoxon Norm approach has been proved robust against outliers. Simulation results show improved prediction over MLANN for all exchange rates with different months ahead prediction.

Keywords

exchange rates; neural nets; Euclidean norm; MLANN; exchange rate prediction; multilayer neural network; rank based Wilcoxon norm approach; robust technique; training data; Nonhomogeneous media; Robustness; Exchange rate prediction; Mean square error(MSE); Multi Layer Artificial Neural Network(MLANN); Wilcoxon Neural Network(WNN); Wilcoxon Norm(WN);

fLanguage

English

Publisher

ieee

Conference_Titel

Advances in Engineering, Science and Management (ICAESM), 2012 International Conference on

Conference_Location

Nagapattinam, Tamil Nadu

Print_ISBN

978-1-4673-0213-5

Type

conf

Filename

6215902

Link To Document

https://search.isc.ac/dl/search/defaultta.aspx?DTC=49&DC=562673