Evolving Dynamic Forecasting Model for Foreign Currency Exchange Rates Using Plastic Neural Networks

2013 ◽  
Author(s):  
Gul Muhammad Khan ◽  
Durre Nayab ◽  
S. Ali Mahmud ◽  
Haseeb Zafar
Keyword(s):  
Neural Networks ◽  
Exchange Rates ◽  
Foreign Currency ◽  
Forecasting Model ◽  
Currency Exchange ◽  
Currency Exchange Rates ◽  
Dynamic Forecasting

A Novel Recurrent Polynomial Neural Network for Financial Time Series Prediction

2009 ◽  
pp. 190-211 ◽  
Author(s):  
Abir Hussain ◽  
Panos Liatsis
Keyword(s):  
Neural Network ◽  
Neural Networks ◽  
Foreign Currency ◽  
Temporal Dynamics ◽  
Financial Time Series ◽  
Time Series Prediction ◽  
Currency Exchange ◽  
Currency Exchange Rates ◽  
One Step ◽  
Linear Interactions

The research described in this chapter is concerned with the development of a novel artificial higherorder neural networks architecture called the recurrent Pi-sigma neural network. The proposed artificial neural network combines the advantages of both higher-order architectures in terms of the multi-linear interactions between inputs, as well as the temporal dynamics of recurrent neural networks, and produces highly accurate one-step ahead predictions of the foreign currency exchange rates, as compared to other feedforward and recurrent structures.

The Effect of Mandated Market Risk Disclosures on Trading Volume Sensitivity to Interest Rate, Exchange Rate, and Commodity Price Movements

2002 ◽  
Vol 77 (2) ◽  
pp. 343-377 ◽  
Author(s):  
Thomas J. Linsmeier ◽  
Daniel B. Thornton ◽  
Mohan Venkatachalam ◽  
Michael Welker
Keyword(s):  
Exchange Rates ◽  
Interest Rates ◽  
Trading Volume ◽  
Foreign Currency ◽  
Market Risk ◽  
Currency Exchange ◽  
Currency Exchange Rates ◽  
Volume Sensitivity ◽  
Market Risk Disclosures ◽  
Risk Disclosures

We hypothesize that firms' 10-K market risk disclosures, recently mandated by SEC Financial Reporting Release No. 48 (FRR No. 48), reduce investors' uncertainty and diversity of opinion about the implications, for firm value, of changes in interest rates, foreign currency exchange rates, and commodity prices. We argue that this reduced uncertainty and diversity of opinion should dampen trading volume sensitivity to changes in these underlying market rates or prices. Consistent with this hypothesis, we find that after firms disclose FRR No. 48-mandated information about their exposures to interest rates, foreign currency exchange rates, and energy prices, trading volume sensitivity to changes in these underlying market rates and prices declines, even after controlling for other factors associated with trading volume. The observed declines in trading volume sensitivity are consistent with FRR No. 48 market risk disclosures providing useful information to investors.

Sparseness and Roughness of Foreign Exchange Rates

1998 ◽  
Vol 09 (05) ◽  
pp. 711-719 ◽  
Author(s):  
N. Vandewalle ◽  
M. Ausloos
Keyword(s):  
Phase Diagram ◽  
Brownian Motion ◽  
Exchange Rates ◽  
Foreign Currency ◽  
Foreign Exchange Rates ◽  
Wide Region ◽  
Currency Exchange ◽  
Currency Exchange Rates ◽  
Roughness Exponent ◽  
Component C

An accurate multiaffine analysis of 23 foreign currency exchange rates has been performed. The roughness exponent H1 which characterizes the excursion of the exchange rate has been numerically measured. The degree of intermittency C1 has been also estimated. In the (H1,C1) phase diagram, the currency exchange rates are dispersed in a wide region around the Brownian motion value (H1=0.5,C1=0) and have a significantly intermittent component (C1≠0).

Sign in / Sign up

Export Citation Format

Share Document