The DOI matches its Crossref record; 30 of the 30 references it cites were found in a registry or an index.
Forecasting exchange rates using feedforward and recurrent neural networks
Open accessAbstract
In this paper we investigate the out‐of‐sample forecasting ability of feedforward and recurrent neural networks based on empirical foreign exchange rate data. A two‐step procedure is proposed to construct suitable networks, in which networks are selected based on the predictive stochastic complexity (PSC) criterion, and the selected networks are estimated using both recursive Newton algorithms and the method of nonlinear least squares. Our results show that PSC is a sensible criterion for selecting networks and for certain exchange rate series, some selected network models have significant market timing ability and/or significantly lower out‐of‐sample mean squared prediction error relative to the random walk model.
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Cites
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Forecasting with artificial neural networks:
Zhang, G., Eddy Patuwo, B., & Y. Hu, M. (1998) · International Journal of Forecasting · doi:10.1016/s0169-2070(97)00044-7 · Cited by 4,229
Artificial neural networks in business: Two decades of research
Tkáč, M., & Verner, R. (2016) · Applied Soft Computing · doi:10.1016/j.asoc.2015.09.040 · Cited by 340
Gençay, R. (1999) · Journal of International Economics · doi:10.1016/s0022-1996(98)00017-8 · Cited by 305
Time series forecasting for nonlinear and non-stationary processes: a review and comparative study
Cheng, C., Sa-Ngasoongsong, A., Beyca, O., Le, T., Yang, H., Kong, Z. (., & Bukkapatnam, S. T. S. (2015) · IIE Transactions · doi:10.1080/0740817x.2014.999180 · Cited by 287
Probabilistic Neural Networks in Bankruptcy Prediction
Yang, Z. R., Platt, M. B., & Platt, H. D. (1999) · Journal of Business Research · doi:10.1016/s0148-2963(97)00242-7 · Cited by 276
Metadata
- Authors
- Kuan, C., & Liu, T.
- Venue
- Journal of Applied Econometrics
- Publisher
- Wiley
- Published
- 1995-10
- Volume
- 10
- Issue
- 4
- Pages
- 347-364
- ISSN
- 0883-7252 (ISSN-L)
- 1099-1255
- OpenAlex
- W1966106237
- Cited by
- 428
- References
- 30
- FWCI
- 10.85
- Type
- journal article
- Language
- en
- Open access
- green
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Bibliographic data: Semantic Scholar, OpenAlex, Crossref.
Contains information from the Semantic Scholar Academic Graph Datasets, made available under the ODC Attribution License (ODC-BY 1.0).
Semantic Scholar’s data is described in: Kinney, R., et al. (2023). The Semantic Scholar Open Data Platform. arXiv:2301.10140.
