IDEAS home Printed from https://ideas.repec.org/a/jae/japmet/v10y1995i4p347-64.html
   My bibliography  Save this article

Forecasting Exchange Rates Using Feedforward and Recurrent Neural Networks

Author

Listed:
  • Kuan, Chung-Ming
  • Liu, Tung

Abstract

In this paper we investigate the out-of-sample forecasting ability of feedforward and recurrent neural networks based on empirical foreign exchange rate data. A two-step procedure is proposed to construct suitable networks, in which networks are selected based on the predictive stochastic complexity (PSC) criterion, and the selected networks are estimated using both recursive Newton algorithms and the method of nonlinear least squares. Our results show that PSC is a sensible criterion for selecting networks and for certain exchange rate series, some selected network models have significant market timing ability and/or significantly lower out-of-sample prediction error relative to the random walk model. Copyright 1995 by John Wiley & Sons, Ltd.

Suggested Citation

  • 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..
    • Handle: RePEc:jae:japmet:v:10:y:1995:i:4:p:347-64
    as

    Download full text from publisher

    File URL: http://links.jstor.org/sici?sici=0883-7252%28199510%2F199512%2910%3A4%3C347%3AFERUFA%3E2.0.CO%3B2-Q&origin=bc
    File Function: full text
    Download Restriction: Access to full text is restricted to JSTOR subscribers. See http://www.jstor.org for details.
    File URL: http://qed.econ.queensu.ca:80/jae/1995-v10.4/
    File Function: Supporting data files and programs
    Download Restriction: no
    ---><---

    As the access to this document is restricted, you may want to search for a different version of it.

    More about this item

    Lists

    This item is featured on the following reading lists, Wikipedia, or ReplicationWiki pages:
    1. Forecasting exchange rates using feedforward and recurrent neural networks (Journal of Applied Econometrics 1995) in ReplicationWiki

    Statistics

    Access and download statistics

    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:jae:japmet:v:10:y:1995:i:4:p:347-64. 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.

    We have no bibliographic references for this item. You can help adding them by using 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: Wiley-Blackwell Digital Licensing or Christopher F. Baum (email available below). General contact details of provider: http://www.interscience.wiley.com/jpages/0883-7252/ .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.