Modeling and Prediction of Foreign Currency Exchange Markets
Joarder Kamruzzaman (Monash University, Australia), Ruhul A. Sarker (University of New South Wales, Australia) and Rezaul K. Begg (Victoria University, Australia)
Copyright: © 2006
In today’s global market economy, currency exchange rates play a vital role in national economy of the trading nations. In this chapter, we present an overview of neural network-based forecasting models for foreign currency exchange (forex) rates. To demonstrate the suitability of neural network in forex forecasting, a case study on the forex rates of six different currencies against the Australian dollar is presented. We used three different learning algorithms in this case study, and a comparison based on several performance metrics and trading profitability is provided. Future research direction for enhancement of neural network models is also discussed.