EXTENDED DAILY EXCHANGE RATES FORECASTS USING WAVELET TEMPORAL RESOLUTIONS

2005 ◽  
Vol 01 (01) ◽  
pp. 79-107 ◽  
Author(s):  
MAK KABOUDAN
Keyword(s):  
Neural Networks ◽  
Artificial Neural Networks ◽  
Exchange Rate ◽  
Random Walk ◽  
Genetic Programming ◽  
Exchange Rates ◽  
Us Dollar ◽  
Artificial Neural ◽  
Japanese Yen ◽  
The One

Applying genetic programming and artificial neural networks to raw as well as wavelet-transformed exchange rate data showed that genetic programming may have good extended forecasting abilities. Although it is well known that most predictions of exchange rates using many alternative techniques could not deliver better forecasts than the random walk model, in this paper employing natural computational strategies to forecast three different exchange rates produced two extended forecasts (that go beyond one-step-ahead) that are better than naïve random walk predictions. Sixteen-step-ahead forecasts obtained using genetic programming outperformed the one- and sixteen-step-ahead random walk US dollar/Taiwan dollar exchange rate predictions. Further, sixteen-step-ahead forecasts of the wavelet-transformed US dollar/Japanese Yen exchange rate also using genetic programming outperformed the sixteen-step-ahead random walk predictions of the exchange rate. However, random walk predictions of the US dollar/British pound exchange rate outperformed all forecasts obtained using genetic programming. Random walk predictions of the same three exchange rates employing raw and wavelet-transformed data also outperformed all forecasts obtained using artificial neural networks.

scholarly journals Estimation of the development of Czech Koruna to Chinese Yuan exchange rate using artificial neural networks

2019 ◽  
Vol 61 ◽  
pp. 01012 ◽  
Author(s):  
Veronika Machová ◽  
Jan Mareček
Keyword(s):  
Neural Networks ◽  
Time Series ◽  
Artificial Neural Networks ◽  
Exchange Rate ◽  
Exchange Rates ◽  
Artificial Neural ◽  
The Exchange Rate ◽  
Exchange Rate Prediction ◽  
Chinese Yuan ◽  
Rate Development

Through time series analysis, it is possible to obtain significant statistics and other necessary data characteristics. Prediction of time series allows predicting future values based on previously observed values. The exact prognosis of the time series is very important for a number of different areas, such as transport, energy, finance, economics, etc. It is within the topic of economy that the analysis and prediction of time series can also be used for exchange rates. The exchange rate itself can greatly affect the whole foreign trade. The aim of this article is therefore to analyze the exchange rate development of two currencies by analyzing time series through artificial neural networks. Experimental results show that neural networks are potentially usable and effective for exchange rate prediction.

Prediction by using spectral analysis and artificial neural networks methodologies: Comparison Study

2017 ◽  
Vol 9 (2) ◽  
Author(s):  
Mohammed Habib Al- Sharoot ◽  
Emaan Yousif Abdoon
Keyword(s):  
Neural Networks ◽  
Spectral Analysis ◽  
Artificial Neural Networks ◽  
Exchange Rate ◽  
Absolute Error ◽  
Percentage Error ◽  
The Mean ◽  
Us Dollar ◽  
Artificial Neural ◽  
Stable Economy

The variations in exchange rate, especially the sudden unexpected increases and decreases, have significant impact on the national economy of any country. Iraq is no exception; therefore, the accurate forecasting of exchange rate of Iraqi dinar to US dollar plays an important role in the planning and decision-making processes as well as the maintenance of a stable economy in Iraq. This research aims to compare spectral analysis methodology to artificial neural networks in terms of forecasting the exchange rate of Iraqi dinar to US dollar based on data provided by the Iraqi Central Bank for the period 30/01/2004 and 30/12/2014. Based on the Mean Square Error (MSE), the Mean Absolute Error (MAE), and the Mean Absolute Percentage Error (MAPE) as criteria to compare the two methodologies, it was concluded that is artificial neural networks better than spectral analysis approach in forecasting.

scholarly journals Exchange Rates and Monetary Fundamentals: What Do We Learn from Linear and Nonlinear Regressions?

2014 ◽  
Vol 2014 ◽  
pp. 1-14 ◽  
Author(s):  
Guangfeng Zhang
Keyword(s):  
Exchange Rate ◽  
Exchange Rates ◽  
Correction Model ◽  
Exchange Rate Dynamics ◽  
Long Run ◽  
Exchange Rate Movements ◽  
Short Run ◽  
Us Dollar ◽  
Linear And Nonlinear ◽  
Japanese Yen

This paper revisits the association between exchange rates and monetary fundamentals with the focus on both linear and nonlinear approaches. With the monthly data of Euro/US dollar and Japanese yen/US dollar, our linear analysis demonstrates the monetary model is a long-run description of exchange rate movements, and our nonlinear modelling suggests the error correction model describes the short-run adjustment of deviations of exchange rates, and monetary fundamentals are capable of explaining exchange rate dynamics under an unrestricted framework.

Predicting the exchange rate in Sudan using neural networks models during the period (1960 - 2017): التنبؤ بسعر الصرف في السودان باستخدام نماذج الشبكات العصبية خلال الفترة (1960م – 2017م)

2020 ◽  
Vol 4 (14) ◽  
Author(s):  
Fathi Ahmed Ali Adam, Mahmoud Mohamed Abdel Aziz Gamal El-Di
Keyword(s):  
Neural Networks ◽  
Artificial Neural Networks ◽  
Exchange Rate ◽  
Network Models ◽  
Neural Network Models ◽  
Classical Models ◽  
Artificial Neural ◽  
The Exchange Rate ◽  
Long Term Forecasting ◽  
Artificial Neural Network Models

The study examined the use of artificial neural network models to predict the exchange rate in Sudan through annual exchange rate data between the US dollar and the Sudanese pound. This study aimed to formulate the models of artificial neural networks in which the exchange rate can be predicted in the coming period. The importance of the study is that it is necessary to use modern models to predict instead of other classical models. The study hypothesized that the models of artificial neural networks have a high ability to predict the exchange rate. Use models of artificial neural networks. The most important results ability of artificial neural networks models to predict the exchange rate accurately, Form MLP (1-1-1) is the best model chosen for that purpose. The study recommended the development of the proposed model for long-term forecasting.

Revealing the importance of international and domestic cooperation by using artificial neural networks: case of European radical and incremental innovators

2021 ◽  
Vol ahead-of-print (ahead-of-print) ◽  
Author(s):  
Viktor Prokop ◽  
Jan Stejskal ◽  
Beata Mikusova Merickova ◽  
Samuel Amponsah Odei
Keyword(s):  
Neural Networks ◽  
Artificial Neural Networks ◽  
International Cooperation ◽  
Incremental Innovation ◽  
Content Type ◽  
Innovation Activities ◽  
Design Activities ◽  
Artificial Neural ◽  
The One ◽  
Innovation Processes

PurposeThe purpose of this study is to introduce innovative ideas into the treatment of the radical and incremental innovations and to fill the research gap by using: (1) methods that can perform complicated tasks and solve complex problems leading in creation of radical and incremental innovation and (2) a broad sample of firms across countries. The authors’ ambition is to contribute to the scientific knowledge by producing evidence about the novel usage of artificial neural network techniques for measuring European firms' innovation activities appearing in black boxes of innovation processes.Design/methodology/approachIn this study, the authors incorporate an international context into Chesbrough's open innovation (OI) theory and, on the one hand, support the hypothesis that European radical innovators benefit more from foreign cooperation than incremental innovators. On the other hand, the results of the analyses show that European incremental innovators rely on domestic cooperation supported by cooperation with foreign public research institutes. Moreover, the use of decision trees (DT) allows the authors to reveal specific patterns of successful innovators emerging within the hidden layers of neural networks.FindingsThe authors prove that radical European innovators using either internal or external R&D strategies, while the combinations of these strategies do not bring successful innovation outputs. In contrast, European incremental innovators benefit from various internal R&D processes in which engagement in design activities plays a crucial role.Originality/valueThe authors introduce innovative ideas into the treatment of hidden innovation processes and measuring the innovation performance (affected by domestic or international cooperation) of European firms. The approach places emphasis on the novelty of innovation and the issue of international cooperation in the era of OI by designing the framework using a combination of artificial neural networks and DT.

MODELING OF NEURAL PREDICTIVE CONTROL OF IRRIGATION MACHINES

2021 ◽  
pp. 14-22
Author(s):  
G. N. KAMYSHOVA ◽  
Keyword(s):  
Neural Networks ◽  
Artificial Neural Networks ◽  
Real Time ◽  
Predictive Control ◽  
Intelligent Control ◽  
Machine Learning Algorithms ◽  
Intelligent Control Systems ◽  
Artificial Neural ◽  
The One ◽  
Neural Predictive Control

The purpose of the study is to develop new scientific approaches to improve the efficiency of irrigation machines. Modern digital technologies allow the collection of data, their analysis and operational management of equipment and technological processes, often in real time. All this allows, on the one hand, applying new approaches to modeling technical systems and processes (the so-called “data-driven models”), on the other hand, it requires the development of fundamentally new models, which will be based on the methods of artificial intelligence (artificial neural networks, fuzzy logic, machine learning algorithms and etc.).The analysis of the tracks and the actual speeds of the irrigation machines in real time showed their significant deviations in the range from the specified speed, which leads to a deterioration in the irrigation parameters. We have developed an irrigation machine’s control model based on predictive control approaches and the theory of artificial neural networks. Application of the model makes it possible to implement control algorithms with predicting the response of the irrigation machine to the control signal. A diagram of an algorithm for constructing predictive control, a structure of a neuroregulator and tools for its synthesis using modern software are proposed. The versatility of the model makes it possible to use it both to improve the efficiency of management of existing irrigation machines and to develop new ones with integrated intelligent control systems.

scholarly journals Statistical and Artificial Neural Networks Models for Electricity Consumption Forecasting in the Brazilian Industrial Sector

Energies ◽  
2022 ◽  
Vol 15 (2) ◽  
pp. 588
Author(s):  
Felipe Leite Coelho da Silva ◽  
Kleyton da Costa ◽  
Paulo Canas Rodrigues ◽  
Rodrigo Salas ◽  
Javier Linkolk López-Gonzales
Keyword(s):  
Neural Network ◽  
Neural Networks ◽  
Artificial Neural Networks ◽  
Statistical Approach ◽  
Electricity Consumption ◽  
Industrial Sector ◽  
Neural Network Approach ◽  
Artificial Neural ◽  
The One ◽  
Mlp Model

Forecasting the industry’s electricity consumption is essential for energy planning in a given country or region. Thus, this study aims to apply time-series forecasting models (statistical approach and artificial neural network approach) to the industrial electricity consumption in the Brazilian system. For the statistical approach, the Holt–Winters, SARIMA, Dynamic Linear Model, and TBATS (Trigonometric Box–Cox transform, ARMA errors, Trend, and Seasonal components) models were considered. For the approach of artificial neural networks, the NNAR (neural network autoregression) and MLP (multilayer perceptron) models were considered. The results indicate that the MLP model was the one that obtained the best forecasting performance for the electricity consumption of the Brazilian industry under analysis.

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