Forecasting foreign exchange rates with adaptive neural networks using radial-basis functions and Particle Swarm Optimization
Download full text from publisher
As the access to this document is restricted, you may want to search for a different version of it.
References listed on IDEAS
- Panda, Chakradhara & Narasimhan, V., 2007. "Forecasting exchange rate better with artificial neural network," Journal of Policy Modeling, Elsevier, vol. 29(2), pages 227-236.
- Yang, Jian & Cabrera, Juan & Wang, Tao, 2010. "Nonlinearity, data-snooping, and stock index ETF return predictability," European Journal of Operational Research, Elsevier, vol. 200(2), pages 498-507, January.
- Andreou, Panayiotis C. & Charalambous, Chris & Martzoukos, Spiros H., 2008. "Pricing and trading European options by combining artificial neural networks and parametric models with implied parameters," European Journal of Operational Research, Elsevier, vol. 185(3), pages 1415-1433, March.
- Bekiros, Stelios D., 2010. "Fuzzy adaptive decision-making for boundedly rational traders in speculative stock markets," European Journal of Operational Research, Elsevier, vol. 202(1), pages 285-293, April.
- 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 561-565, October.
- Pesaran, M.H. & Timmermann, A., 1990. "A Simple, Non-Parametric Test Of Predictive Performance," Cambridge Working Papers in Economics 9021, Faculty of Economics, University of Cambridge.
- Pesaran, M.H. & Timmermann, A., 1990. "A Simple Non-Parametric Test Of Predictive Performance," Papers 29, California Los Angeles - Applied Econometrics.
- Yang, Jian & Su, Xiaojing & Kolari, James W., 2008. "Do Euro exchange rates follow a martingale? Some out-of-sample evidence," Journal of Banking & Finance, Elsevier, vol. 32(5), pages 729-740, May.
- 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.
- Adeodato, Paulo J.L. & Arnaud, Adrian L. & Vasconcelos, Germano C. & Cunha, Rodrigo C.L.V. & Monteiro, Domingos S.M.P., 2011. "MLP ensembles improve long term prediction accuracy over single networks," International Journal of Forecasting, Elsevier, vol. 27(3), pages 661-671, July.
- Diebold, Francis X & Mariano, Roberto S, 2002.
"Comparing Predictive Accuracy,"
Journal of Business & Economic Statistics,
American Statistical Association, vol. 20(1), pages 134-144, January.
- 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.
- Huck, Nicolas, 2010. "Pairs trading and outranking: The multi-step-ahead forecasting case," European Journal of Operational Research, Elsevier, vol. 207(3), pages 1702-1716, December.
- Adeodato, Paulo J.L. & Arnaud, Adrian L. & Vasconcelos, Germano C. & Cunha, Rodrigo C.L.V. & Monteiro, Domingos S.M.P., 2011. "MLP ensembles improve long term prediction accuracy over single networks," International Journal of Forecasting, Elsevier, vol. 27(3), pages 661-671.
- Bekaert, Geert & Wu, Guojun, 2000. "Asymmetric Volatility and Risk in Equity Markets," Review of Financial Studies, Society for Financial Studies, vol. 13(1), pages 1-42.
- S. D. Bekiros & D. A. Georgoutsos, 2008.
"Direction-of-change forecasting using a volatility-based recurrent neural network,"
Journal of Forecasting,
John Wiley & Sons, Ltd., vol. 27(5), pages 407-417.
- Bekiros, S. & Georgoutsos, D., 2006. "Direction-of-Change Forecasting using a Volatility- Based Recurrent Neural Network," CeNDEF Working Papers 06-16, Universiteit van Amsterdam, Center for Nonlinear Dynamics in Economics and Finance.
- Shapiro, Arnold F., 2000. "A Hitchhiker's guide to the techniques of adaptive nonlinear models," Insurance: Mathematics and Economics, Elsevier, vol. 26(2-3), pages 119-132, May.
- Halbert White, 2000. "A Reality Check for Data Snooping," Econometrica, Econometric Society, vol. 68(5), pages 1097-1126, September.
- Wang, Ju-Jie & Wang, Jian-Zhou & Zhang, Zhe-George & Guo, Shu-Po, 2012. "Stock index forecasting based on a hybrid model," Omega, Elsevier, vol. 40(6), pages 758-766.
CitationsCitations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
- repec:eee:phsmap:v:489:y:2018:i:c:p:78-93 is not listed on IDEAS
- Kwon, He-Boong, 2017. "Exploring the predictive potential of artificial neural networks in conjunction with DEA in railroad performance modeling," International Journal of Production Economics, Elsevier, vol. 183(PA), pages 159-170.
- repec:eee:ejores:v:263:y:2017:i:2:p:540-558 is not listed on IDEAS
- Kizilaslan, Recep & Freund, Steven & Iseri, Ali, 2016. "A data analytic approach to forecasting daily stock returns in an emerging marketAuthor-Name: Oztekin, Asil," European Journal of Operational Research, Elsevier, vol. 253(3), pages 697-710.
- Andreas Karathanasopoulos, 2016. "Modelling and trading the English stock market with novelty optimization techniques," Economics and Business Letters, Oviedo University Press, vol. 5(2), pages 50-57.
- Sevim, Cuneyt & Oztekin, Asil & Bali, Ozkan & Gumus, Serkan & Guresen, Erkam, 2014. "Developing an early warning system to predict currency crises," European Journal of Operational Research, Elsevier, vol. 237(3), pages 1095-1104.
- Doyle, John R. & Chen, Catherine H., 2013. "Patterns in stock market movements tested as random number generators," European Journal of Operational Research, Elsevier, vol. 227(1), pages 122-132.
- Chen, Yan & Wang, Xuancheng, 2015. "A hybrid stock trading system using genetic network programming and mean conditional value-at-risk," European Journal of Operational Research, Elsevier, vol. 240(3), pages 861-871.
- Krauss, Christopher & Do, Xuan Anh & Huck, Nicolas, 2017. "Deep neural networks, gradient-boosted trees, random forests: Statistical arbitrage on the S&P 500," European Journal of Operational Research, Elsevier, vol. 259(2), pages 689-702.
- Sermpinis, Georgios & Stasinakis, Charalampos & Theofilatos, Konstantinos & Karathanasopoulos, Andreas, 2015. "Modeling, forecasting and trading the EUR exchange rates with hybrid rolling genetic algorithms—Support vector regression forecast combinations," European Journal of Operational Research, Elsevier, vol. 247(3), pages 831-846.
- repec:eee:ejores:v:264:y:2018:i:1:p:294-309 is not listed on IDEAS
- Fischer, Thomas & Krauss, Christopher, 2017. "Deep learning with long short-term memory networks for financial market predictions," FAU Discussion Papers in Economics 11/2017, Friedrich-Alexander University Erlangen-Nuremberg, Institute for Economics.
- Sang Il Lee & Seong Joon Yoo, 2017. "A Deep Efficient Frontier Method for Optimal Investments," Papers 1709.09822, arXiv.org.
More about this item
KeywordsAdaptive Radial Basis Function; Partial Swarm Optimization; Forecasting; Quantitative trading strategies;
StatisticsAccess and download statistics
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:eee:ejores:v:225:y:2013:i:3:p:528-540. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Dana Niculescu). General contact details of provider: http://www.elsevier.com/locate/eor .
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 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.
Please note that corrections may take a couple of weeks to filter through the various RePEc services.