Neural Networks for Technical Forecasting of Foreign Exchange Rates

Neural Networks for Technical Forecasting of Foreign Exchange Rates

Jing Tao Yao (Massey University, New Zealand) and Chew Lim Tan (National University of Singapore, Singapore)
Copyright: © 2002 |Pages: 16
DOI: 10.4018/978-1-930708-31-0.ch012
OnDemand PDF Download:
$30.00
List Price: $37.50

Abstract

This chapter describes the application of neural networks in foreign exchange rate forecasting between American dollar and five other major currencies: Japanese yen, Deutsch mark, British pound, Swiss franc and Australian dollar. Technical indicators and time series data are fed to neural networks to mine, or discover, the underlying “rules” of the movement in currency exchange rates. The results presented in this chapter show that without the use of extensive market data or knowledge, useful prediction can be made and significant paper profit can be achieved for out-of-sample data with simple technical indicators. The neural-network-based forecasting is also shown to compare favorably with the traditional statistical approach.

Complete Chapter List

Search this Book:
Reset