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Forecasting exchange rate better with artificial neural network

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  • Panda, Chakradhara
  • Narasimhan, V.

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  • Panda, Chakradhara & Narasimhan, V., 2007. "Forecasting exchange rate better with artificial neural network," Journal of Policy Modeling, Elsevier, vol. 29(2), pages 227-236.
    • Handle: RePEc:eee:jpolmo:v:29:y:2007:i:2:p:227-236
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    1. Wu, Berlin, 1995. "Model-free forecasting for nonlinear time series (with application to exchange rates)," Computational Statistics & Data Analysis, Elsevier, vol. 19(4), pages 433-459, April.
    2. Chakradhara Panda & V. Narasimhan, 2003. "Forecasting Daily Foreign Exchange Rate In India With Artificial Neural Network," The Singapore Economic Review (SER), World Scientific Publishing Co. Pte. Ltd., vol. 48(02), pages 181-199.
    3. Hsieh, David A, 1989. "Testing for Nonlinear Dependence in Daily Foreign Exchange Rates," The Journal of Business, University of Chicago Press, vol. 62(3), pages 339-368, July.
    4. Verkooijen, William, 1996. "A Neural Network Approach to Long-Run Exchange Rate Prediction," Computational Economics, Springer;Society for Computational Economics, vol. 9(1), pages 51-65, February.
    5. Zhang, Gioqinang & Hu, Michael Y., 1998. "Neural network forecasting of the British Pound/US Dollar exchange rate," Omega, Elsevier, vol. 26(4), pages 495-506, August.
    6. Meese, Richard A. & Rogoff, Kenneth, 1983. "Empirical exchange rate models of the seventies : Do they fit out of sample?," Journal of International Economics, Elsevier, vol. 14(1-2), pages 3-24, February.
    7. Kuan, Chung-Ming & Liu, Tung, 1995. "Forecasting Exchange Rates Using Feedforward and Recurrent Neural Networks," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 10(4), pages 347-364, Oct.-Dec..
    8. Joseph Plasmans & William Verkooijen & Hennie Daniels, 1998. "Estimating structural exchange rate models by artificial neural networks," Applied Financial Economics, Taylor & Francis Journals, vol. 8(5), pages 541-551.
    9. Gencay, Ramazan, 1999. "Linear, non-linear and essential foreign exchange rate prediction with simple technical trading rules," Journal of International Economics, Elsevier, vol. 47(1), pages 91-107, February.
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    Cited by:

    1. Abdorrahman Haeri & Masoud Rabbani & Ali Habibnia, 2011. "The Proposed Mathematical Models for Decision-Making and Forecasting on Euro-Yen in Foreign Exchange Market," Iranian Economic Review (IER), Faculty of Economics,University of Tehran.Tehran,Iran, vol. 16(3), pages 67-91, fall.
    2. Mishra, Sasmita & Padhy, Sudarsan, 2019. "An efficient portfolio construction model using stock price predicted by support vector regression," The North American Journal of Economics and Finance, Elsevier, vol. 50(C).
    3. He, Kaijian & Chen, Yanhui & Tso, Geoffrey K.F., 2018. "Forecasting exchange rate using Variational Mode Decomposition and entropy theory," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 510(C), pages 15-25.
    4. Sermpinis, Georgios & Theofilatos, Konstantinos & Karathanasopoulos, Andreas & Georgopoulos, Efstratios F. & Dunis, Christian, 2013. "Forecasting foreign exchange rates with adaptive neural networks using radial-basis functions and Particle Swarm Optimization," European Journal of Operational Research, Elsevier, vol. 225(3), pages 528-540.
    5. Petropoulos, Fotios & Apiletti, Daniele & Assimakopoulos, Vassilios & Babai, Mohamed Zied & Barrow, Devon K. & Ben Taieb, Souhaib & Bergmeir, Christoph & Bessa, Ricardo J. & Bijak, Jakub & Boylan, Joh, 2022. "Forecasting: theory and practice," International Journal of Forecasting, Elsevier, vol. 38(3), pages 705-871.
      • Fotios Petropoulos & Daniele Apiletti & Vassilios Assimakopoulos & Mohamed Zied Babai & Devon K. Barrow & Souhaib Ben Taieb & Christoph Bergmeir & Ricardo J. Bessa & Jakub Bijak & John E. Boylan & Jet, 2020. "Forecasting: theory and practice," Papers 2012.03854, arXiv.org, revised Jan 2022.
    6. Süleyman Bilgin Kılıç & Semin Paksoy & Tolga Genç, 2014. "Forecasting the Direction of BIST 100 Returns with Artificial Neural Network Models," International Journal of Finance, Insurance and Risk Management, International Journal of Finance, Insurance and Risk Management, vol. 4(3), pages 759-759.
    7. Bernd E.T. Mueller, 2011. "The agrarian question in Tanzania: using new evidence to reconcile an old debate," Review of African Political Economy, Taylor & Francis Journals, vol. 38(127), pages 23-42, March.
    8. Chun-Teck Lye & Tze-Haw Chan & Chee-Wooi Hooy, 2012. "Nonlinear Analysis Of Chinese And Malaysian Exchange Rates Predictability With Monetary Fundamentals," Journal of Global Business and Economics, Global Research Agency, vol. 5(1), pages 38-49, July.
    9. Christian L Dunis & Spiros D Likothanassis & Andreas S Karathanasopoulos & Georgios S Sermpinis & Konstantinos A Theofilatos, 2013. "A hybrid genetic algorithm–support vector machine approach in the task of forecasting and trading," Journal of Asset Management, Palgrave Macmillan, vol. 14(1), pages 52-71, February.
    10. Lukas Ryll & Sebastian Seidens, 2019. "Evaluating the Performance of Machine Learning Algorithms in Financial Market Forecasting: A Comprehensive Survey," Papers 1906.07786, arXiv.org, revised Jul 2019.
    11. Chan, Tze-Haw & Lye, Chun Teck & Hooy, Chee-Wooi, 2010. "Forecasting Malaysian Exchange Rate: Do Artificial Neural Networks Work?," MPRA Paper 26326, University Library of Munich, Germany.
    12. Tripathi Manas & Kumar Saurabh & Inani Sarveshwar Kumar, 2021. "Exchange Rate Forecasting Using Ensemble Modeling for Better Policy Implications," Journal of Time Series Econometrics, De Gruyter, vol. 13(1), pages 43-71, January.
    13. Chun-Teck Lye & Tze-Haw Chan & Chee-Wooi Hooy, 2011. "Nonlinear prediction of Malaysian exchange rate with monetary fundamentals," Economics Bulletin, AccessEcon, vol. 31(3), pages 1960-1967.
    14. Georgios Sermpinis & Andreas Karathanasopoulos & Rafael Rosillo & David Fuente, 2021. "Neural networks in financial trading," Annals of Operations Research, Springer, vol. 297(1), pages 293-308, February.
    15. Cem Kadilar & Muammer Simsek & Cagdas Hakan Aladag, 2009. "Forecasting The Exchange Rate Series With Ann: The Case Of Turkey," Istanbul University Econometrics and Statistics e-Journal, Department of Econometrics, Faculty of Economics, Istanbul University, vol. 9(1), pages 17-29, May.
    16. Alisa Bilal Zoric, 2016. "Predicting customer churn in banking industry using neural networks," Interdisciplinary Description of Complex Systems - scientific journal, Croatian Interdisciplinary Society Provider Homepage: http://indecs.eu, vol. 14(2), pages 116-124.
    17. Chih-Chung Yang & Yungho Leu & Chien-Pang Lee, 2014. "A Dynamic Weighted Distancedbased Fuzzy Time Series Neural Network with Bootstrap Model for Option Price Forecasting," Journal for Economic Forecasting, Institute for Economic Forecasting, vol. 0(2), pages 115-129, June.
    18. Waddah Waheeb & Rozaida Ghazali & Tutut Herawan, 2016. "Ridge Polynomial Neural Network with Error Feedback for Time Series Forecasting," PLOS ONE, Public Library of Science, vol. 11(12), pages 1-34, December.

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