The Usefulness of Artificial Neural Networks in Forecasting Exchange Rates
Author
Abstract
Suggested Citation
DOI: 10.5901/ajis.2016.v5n1p73
Download full text from publisher
References listed on IDEAS
- 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.
- Zhang, Guoqiang & Eddy Patuwo, B. & Y. Hu, Michael, 1998. "Forecasting with artificial neural networks:: The state of the art," International Journal of Forecasting, Elsevier, vol. 14(1), pages 35-62, March.
- Philippe Bacchetta & Eric Van Wincoop, 2006.
"Can Information Heterogeneity Explain the Exchange Rate Determination Puzzle?,"
American Economic Review, American Economic Association, vol. 96(3), pages 552-576, June.
- Philippe Bacchetta & Eric van Wincoop, 2003. "Can Information Heterogeneity Explain the Exchange Rate Determination Puzzle?," Working Papers 03.02, Swiss National Bank, Study Center Gerzensee.
- Eric van Wincoop & Philippe Bacchetta, 2003. "Can Information Heterogeneity Explain the Exchange Rate Determination Puzzle?," NBER Working Papers 9498, National Bureau of Economic Research, Inc.
- Bacchetta, Philippe & van Wincoop, Eric, 2003. "Can Information Heterogeneity Explain the Exchange Rate Determination Puzzle?," CEPR Discussion Papers 3808, C.E.P.R. Discussion Papers.
- Eric van Wincoop & Philippe Bacchetta, 2004. "Can Information Heterogeneity Explain the Exchange Rate Determination Puzzle?," Econometric Society 2004 North American Winter Meetings 628, Econometric Society.
Most related items
These are the items that most often cite the same works as this one and are cited by the same works as this one.- Khurshid Kiani & Terry Kastens, 2008. "Testing Forecast Accuracy of Foreign Exchange Rates: Predictions from Feed Forward and Various Recurrent Neural Network Architectures," Computational Economics, Springer;Society for Computational Economics, vol. 32(4), pages 383-406, November.
- Fu, Sibao & Li, Yongwu & Sun, Shaolong & Li, Hongtao, 2019. "Evolutionary support vector machine for RMB exchange rate forecasting," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 521(C), pages 692-704.
- 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.
- Marcos Álvarez-Díaz & Rangan Gupta, 2015. "Forecasting the US CPI: Does Nonlinearity Matter?," Working Papers 201512, University of Pretoria, Department of Economics.
- Lucio Sarno & Giorgio Valente, 2009.
"Exchange Rates and Fundamentals: Footloose or Evolving Relationship?,"
Journal of the European Economic Association, MIT Press, vol. 7(4), pages 786-830, June.
- Sarno, Lucio & Valente, Giorgio, 2008. "Exchange Rates and Fundamentals: Footloose or Evolving Relationship?," CEPR Discussion Papers 6638, C.E.P.R. Discussion Papers.
- Aye, Goodness & Gupta, Rangan & Hammoudeh, Shawkat & Kim, Won Joong, 2015.
"Forecasting the price of gold using dynamic model averaging,"
International Review of Financial Analysis, Elsevier, vol. 41(C), pages 257-266.
- Goodness C. Aye & Rangan Gupta & Shawkat Hammoudeh & Won Joong Kim, 2014. "Forecasting the Price of Gold Using Dynamic Model Averaging," Working Papers 201415, University of Pretoria, Department of Economics.
- Rime, Dagfinn & Sarno, Lucio & Sojli, Elvira, 2010.
"Exchange rate forecasting, order flow and macroeconomic information,"
Journal of International Economics, Elsevier, vol. 80(1), pages 72-88, January.
- Dagfinn Rime & Lucio Sarno & Elvira Sojli, 2007. "Exchange rate forecasting, order flow and macroeconomic information," Working Paper 2007/02, Norges Bank.
- Sarno, Lucio & Rime, Dagfinn & Sojli, Elvira, 2009. "Exchange Rate Forecasting, Order Flow and Macroeconomic Information," CEPR Discussion Papers 7225, C.E.P.R. Discussion Papers.
- Marcos Álvarez-Díaz & Alberto Álvarez, 2002. "Predicción No-Lineal De Tipos De Cambio: Algoritmos Genéticos, Redes Neuronales Y Fusión De Datos," Working Papers 0205, Universidade de Vigo, Departamento de Economía Aplicada.
- Golnoosh Babaei & Shahrooz Bamdad, 2021. "A New Hybrid Instance-Based Learning Model for Decision-Making in the P2P Lending Market," Computational Economics, Springer;Society for Computational Economics, vol. 57(1), pages 419-432, January.
- Christoph Gleue & Dennis Eilers & Hans-Jörg Mettenheim & Michael H. Breitner, 2019. "Decision Support for the Automotive Industry," Business & Information Systems Engineering: The International Journal of WIRTSCHAFTSINFORMATIK, Springer;Gesellschaft für Informatik e.V. (GI), vol. 61(4), pages 385-397, August.
- Deniz Erdemlioglu & Nikola Gradojevic, 2021.
"Heterogeneous investment horizons, risk regimes, and realized jumps,"
International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 26(1), pages 617-643, January.
- Deniz Erdemlioglu & Nikola Gradojevic, 2020. "Heterogeneous investment horizons, risk regimes, and realized jumps," Post-Print hal-02995997, HAL.
- Balkin, Sandy, 2001. "On Forecasting Exchange Rates Using Neural Networks: P.H. Franses and P.V. Homelen, 1998, Applied Financial Economics, 8, 589-596," International Journal of Forecasting, Elsevier, vol. 17(1), pages 139-140.
- Barrow, Devon & Kourentzes, Nikolaos, 2018. "The impact of special days in call arrivals forecasting: A neural network approach to modelling special days," European Journal of Operational Research, Elsevier, vol. 264(3), pages 967-977.
- Ken Miyajima, 2013. "Foreign exchange intervention and expectation in emerging economies," BIS Working Papers 414, Bank for International Settlements.
- Daniel Buncic, 2012.
"Understanding forecast failure of ESTAR models of real exchange rates,"
Empirical Economics, Springer, vol. 43(1), pages 399-426, August.
- Daniel Buncic, 2009. "Understanding forecast failure of ESTAR models of real exchange rates," EERI Research Paper Series EERI_RP_2009_18, Economics and Econometrics Research Institute (EERI), Brussels.
- Buncic, Daniel, 2009. "Understanding forecast failure in ESTAR models of real exchange rates," MPRA Paper 13121, University Library of Munich, Germany.
- Buncic, Daniel, 2009. "Understanding forecast failure of ESTAR models of real exchange rates," MPRA Paper 16526, University Library of Munich, Germany.
- George-Marios Angeletos & Chen Lian, 2018.
"Forward Guidance without Common Knowledge,"
American Economic Review, American Economic Association, vol. 108(9), pages 2477-2512, September.
- George-Marios Angeletos & Chen Lian, 2016. "Forward Guidance without Common Knowledge," NBER Working Papers 22785, National Bureau of Economic Research, Inc.
- George-Marios Angeletos & Chen Lian, 2017. "Forward Guidance without Common Knowledge," 2017 Meeting Papers 89, Society for Economic Dynamics.
- Vitale, Paolo & Rime, Dagfinn & Breedon, Francis, 2010.
"A Transaction Data Study of the Forward Bias Puzzle,"
CEPR Discussion Papers
7791, C.E.P.R. Discussion Papers.
- Francis Breedon & Dagfinn Rime & Paolo Vital, 2010. "A Transaction Data Study of the Forward Bias Puzzle," Working Paper 2010/26, Norges Bank.
- Erdinc Akyildirim & Oguzhan Cepni & Shaen Corbet & Gazi Salah Uddin, 2023.
"Forecasting mid-price movement of Bitcoin futures using machine learning,"
Annals of Operations Research, Springer, vol. 330(1), pages 553-584, November.
- Akyildirim, Erdinc & Cepni, Oguzhan & Corbet, Shaen & Uddin, Gazi Salah, 2020. "Forecasting Mid-price Movement of Bitcoin Futures Using Machine Learning," Working Papers 20-2020, Copenhagen Business School, Department of Economics.
- Cedric Tille & Eric van Wincoop, 2009. "Disconnect and Information Content of International Capital Flows: Evidence and Theory," Working Papers 102009, Hong Kong Institute for Monetary Research.
- Apostolos Ampountolas & Titus Nyarko Nde & Paresh Date & Corina Constantinescu, 2021. "A Machine Learning Approach for Micro-Credit Scoring," Risks, MDPI, vol. 9(3), pages 1-20, March.
Corrections
All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:bjz:ajisjr:1436. See general information about how to correct material in RePEc.
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Richtmann Publishing Ltd (email available below). General contact details of provider: https://www.richtmann.org/journal/index.php/ajis .
Please note that corrections may take a couple of weeks to filter through the various RePEc services.