Title :
Neural networks and multivariate currency forecasting
Author :
Hwa, Ng Kah ; Seng, Gan Woon
Author_Institution :
Sch. of Accountancy & Bus., Nanyang Technol. Inst., Singapore
Abstract :
A neural network approach to multivariate currency forecasting is presented. The performance of this model is compared with a univariate currency model for the major currencies, the Swiss Franc; Deutschemark and the Yen. The multivariate currency model outperforms the univariate model in prediction for all three currencies for single-step and multi-step forecasting
Keywords :
feedforward neural nets; financial data processing; forecasting theory; foreign exchange trading; multilayer perceptrons; prediction theory; Deutschemark; Swiss Franc; Yen; model performance; multi-step forecasting; multivariate currency forecasting; neural network approach; single-step forecasting; univariate currency model; Biological neural networks; Consumer electronics; Economic forecasting; Exchange rates; Gallium nitride; Multilayer perceptrons; Neural networks; Predictive models; Reactive power; Vectors;
Conference_Titel :
Computational Intelligence for Financial Engineering, 1995.,Proceedings of the IEEE/IAFE 1995
Conference_Location :
New York, NY
Print_ISBN :
0-7803-2145-6
DOI :
10.1109/CIFER.1995.495259
