This file is part of IDEAS, which uses RePEc data


[ Papers | Articles | Software | Books | Chapters | Authors | Institutions | JEL Classification | NEP reports | Search | New papers by email | Author registration | Rankings | Volunteers | FAQ | Blog | Help! ]

Forecasting Exchange Rates Using Neural Networks for Technical Trading Rules

Author info | Abstract | Publisher info | Download info | Related research | Statistics
Author Info
Philip Franses (Erasmus University)
Kasper van Griensven (ABN-AMRO Bank)
Abstract

We examine the performance of artificial neural networks (ANNs) for technical trading rules for forecasting daily exchange rates. The main conclusion of our attempt is that ANNs perform well, and that they are often better than linear models. Furthermore, the precise number of hidden layer units in ANNs appears less important for forecasting performance than is the choice of explanatory variables.

Download Info
To download:

If you experience problems downloading a file, check if you have the proper application to view it first. Information about this may be contained in the File-Format links below. In case of further problems read the IDEAS help file. Note that these files are not on the IDEAS site. Please be patient as the files may be large.

File URL: http://www.bepress.com/cgi/viewcontent.cgi?article=1033&context=snde
File Format: application/pdf
File Function:
Download Restriction: Subscription to the journal may be required to access full texts.

As the access to this document is restricted, you may want to look for a different version under "Related research" (further below) or search for a different version of it.

Publisher Info
Article provided by Berkeley Electronic Press in its journal Studies in Nonlinear Dynamics & Econometrics.

Volume (Year): 2 (1998)
Issue (Month): 4 ()
Pages: 1033-1033
Download reference. The following formats are available: HTML, plain text, BibTeX, RIS (EndNote), ReDIF
Handle: RePEc:bep:sndecm:2:1998:4:1033-1033

Note: oai:bepress:snde-1033
Contact details of provider:
Web page: http://www.bepress.com/snde/

Order Information:
Web: http://www.bepress.com/subscriptions.html

For technical questions regarding this item, or to correct its listing, contact: (Christopher F. Baum).

Related research
Keywords: technical analysis neural networks

References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:

  1. Pesaran, M Hashem & Timmermann, Allan, 1992. "A Simple Nonparametric Test of Predictive Performance," Journal of Business & Economic Statistics, American Statistical Association, vol. 10(4), pages 561-65, October.
    Other versions:
  2. Hsieh, David A, 1989. "Testing for Nonlinear Dependence in Daily Foreign Exchange Rates," Journal of Business, University of Chicago Press, vol. 62(3), pages 339-68, July. [Downloadable!] (restricted)
  3. Leitch, Gordon & Tanner, J Ernest, 1991. "Economic Forecast Evaluation: Profits versus the Conventional Error Measures," American Economic Review, American Economic Association, vol. 81(3), pages 580-90, June. [Downloadable!] (restricted)
  4. Franses, Philip Hans & Draisma, Gerrit, 1997. "Recognizing changing seasonal patterns using artificial neural networks," Journal of Econometrics, Elsevier, vol. 81(1), pages 273-280, November. [Downloadable!] (restricted)
  5. 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 347-64, Oct.-Dec.. [Downloadable!] (restricted)
  6. Scheinkman, Jose A & LeBaron, Blake, 1989. "Nonlinear Dynamics and Stock Returns," Journal of Business, University of Chicago Press, vol. 62(3), pages 311-37, July. [Downloadable!] (restricted)
  7. Taylor, Mark P. & Allen, Helen, 1992. "The use of technical analysis in the foreign exchange market," Journal of International Money and Finance, Elsevier, vol. 11(3), pages 304-314, June. [Downloadable!] (restricted)
  8. Brock, William & Lakonishok, Josef & LeBaron, Blake, 1992. " Simple Technical Trading Rules and the Stochastic Properties of Stock Returns," Journal of Finance, American Finance Association, vol. 47(5), pages 1731-64, December. [Downloadable!] (restricted)
    Other versions:
  9. Chung-Ming Kuan & Halbert White, 1994. "Artificial neural networks: an econometric perspective," Econometric Reviews, Taylor and Francis Journals, vol. 13(1), pages 1-91. [Downloadable!] (restricted)
    Other versions:
Full references

Statistics
Access and download statistics

Did you know? Cannot find something on IDEAS? Encourage the publisher to index it! Instructions.

This page was last updated on 2008-11-19.

This information is provided to you by IDEAS at the Department of Economics, College of Liberal Arts and Sciences, University of Connecticut using RePEc data on a server sponsored by the Society for Economic Dynamics.