Intelligent Soft Computing on Forex: Exchange Rates Forecasting with Hybrid Radial Basis Neural Network

Autor: Lukas Falat, Dusan Marcek, Maria Durisova
Jazyk: angličtina
Rok vydání: 2016
Předmět:
Zdroj: The Scientific World Journal, Vol 2016 (2016)
Druh dokumentu: article
ISSN: 2356-6140
1537-744X
DOI: 10.1155/2016/3460293
Popis: This paper deals with application of quantitative soft computing prediction models into financial area as reliable and accurate prediction models can be very helpful in management decision-making process. The authors suggest a new hybrid neural network which is a combination of the standard RBF neural network, a genetic algorithm, and a moving average. The moving average is supposed to enhance the outputs of the network using the error part of the original neural network. Authors test the suggested model on high-frequency time series data of USD/CAD and examine the ability to forecast exchange rate values for the horizon of one day. To determine the forecasting efficiency, they perform a comparative statistical out-of-sample analysis of the tested model with autoregressive models and the standard neural network. They also incorporate genetic algorithm as an optimizing technique for adapting parameters of ANN which is then compared with standard backpropagation and backpropagation combined with K-means clustering algorithm. Finally, the authors find out that their suggested hybrid neural network is able to produce more accurate forecasts than the standard models and can be helpful in eliminating the risk of making the bad decision in decision-making process.
Databáze: Directory of Open Access Journals
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