DocumentCode
3331163
Title
ARIMA and neural network prediction of foreign exchange reserves
Author
Chunhua Shi ; Huimin Wang ; Fancheng Yin ; Zhengliang Ru
Author_Institution
State Key Lab. of Hydrol.-Water Resources & Hydraulic Eng., Hohai Univ., Nanjing, China
Volume
2
fYear
2011
fDate
22-24 Aug. 2011
Firstpage
986
Lastpage
989
Abstract
This paper is about ARIMA and neural network prediction of the foreign exchange reserves of China. Both of unit-root nonstationarity and nonlinearity are tested. In the conclusion, we show that the predictive accuracy of neural networks outperforms ARIMA in terms of the MSE and MADE criteria.
Keywords
foreign exchange trading; mean square error methods; neural nets; prediction theory; ARIMA; China; MADE criteria; MSE criteria; foreign exchange reserves; mean absolute deviation; mean squared error; neural network prediction; unit-root nonstationarity; ISO standards; Linearity; ARIMA; neural networks; nonlinear; unit-root;
fLanguage
English
Publisher
ieee
Conference_Titel
Strategic Technology (IFOST), 2011 6th International Forum on
Conference_Location
Harbin, Heilongjiang
Print_ISBN
978-1-4577-0398-0
Type
conf
DOI
10.1109/IFOST.2011.6021186
Filename
6021186
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