Modeling and Prediction of Foreign Currency Exchange Markets

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 |Pages: 13
DOI: 10.4018/978-1-59140-670-9.ch008
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Abstract

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.

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