Forecasting Foreign Exchange Rates with a Multistage Neural Network Ensemble Model

Part of the International Series in Operations Research & Management Science book series (ISOR, volume 107)

Some studies revealed that foreign exchange market is one of the most volatile markets. Due to its high volatility, foreign exchange rates forecasting is regarded as a rather challenging task (Yu et al., 2005c). For traditional statistical methods, it is hard to capture the volatility. In the last decades, many emerging artificial intelligent techniques, such as artificial neural networks (ANN), were widely used in foreign exchange rates forecasting and obtained good prediction performance.

The rest of this chapter is organized as follows. The next section explains the reasons of motivating neural network ensemble for prediction problem. In Section 10.3, we describe the building process of the multistage neural network ensemble forecasting model in detail. For further illustration, two foreign exchange rate series are used for testing in Section 10.4. Finally, some concluding remarks are drawn in Section 10.5.


Root Mean Square Error Ensemble Member Radial Basis Function Network Ensemble Model Ensemble Forecast 
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© Springer Science+Business Media, LLC 2007

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