基于相空间重构的汇率预测研究

汇率在宏观经济政策、商业经营和个人决策制定上的作用越来越重要,使其成为了研究的热点.根据混沌动力系统的相空间延迟坐标重构理论,基于支持向量机的强大的非线性映射能力,提出了一种基于支持向量机回归的超短期汇率预测方法,并建立了模型,对美元港币的即时汇率进行了实证计算,且与BP神经网络模型进行了比较.结果表明,所建立的模型能很好地跟踪即时汇率的变化趋势,预测精度比较高且算法运行速度比BP神经网络模型快得多.     

基于支持向量机的时态数据预测方法

支持向量回归机使用由经验误差项和常数项所构成的风险函数,满足结构风险最小原则。在时态数据预测领域,它将成为一种很有前途的预测方法。简要介绍了回归支持向量机的基本理论。基于回归支持向量机模型,建立了一个对时态数据预测的方法,可以对多属性时态数据进行预测,并与其它预测模型（BP神经网络）进行比较。实验结果表明所提出的方法在预测的稳定性和准确性方面都要优于BP神经网络模型。     

超短期汇率的预测研究

提出了一种适合超短期汇率预测的模型方法。实验数据通过网络获取,模型采用的是相空间重构与卡尔曼滤波计算的方法来对超短期汇率数据进行建模和预测，并与BP神经网络模型进行了比较。实验结果表明,所建立的模型方法能很好地跟踪即时汇率变化趋势,预测精度比较高，且算法运行速度比BP神经网络模型快得多。最后，给出了在.NET环境下实现了汇率在线预测的全部过程。     

基于BP神经网络与SVM的快速路行程时间组合预测研究

随着视频车牌采集系统的发展与完善,快速路行程时间的动态预测成为了可能。本文根据快速路车牌识别数据的特征和所能提取的信息,结合BP神经网络和支持向量机的预测优点,通过蜂群优化算法对BP神经网络和支持向量机模型的参数进行优化,提出了一种基于多模型融合预测算法（Multi-Model Fusion Algorithm,MMFA）的BP神经网络和支持向量机相结合的组合预测方法。最后选取成都市三环路某段上的视频车牌数据进行实例验证,结果表明该组合预测方法比单一的BP神经网络或者支持向量机具有更好的预测效果。     

基于遗传算法优化支持向量机的网络流量预测

介绍了支持向量机用于时间序列预测的理论基础和遗传算法优化支持向量机参数的方法,首次把遗传算法优化参数支持向量机应用于两组实际网络流量的预测,并与BP神经网络和RBF神经网络方法进行了比较.结果表明:支持向量机相比较BP神经网络和RBF神经网络对网络流量的预测结果精度更高、性能更好.利用支持向量机预测网络流量是一种可行、有效的方法.     

支持向量机回归的碳通量预测

如何根据影响因素较好地预测碳通量是许多环境监测者非常关注的问题。但至今尚无一种非常有效的预测模型,为此研究ε-支持向量回归机在碳通量预测中的具体应用,并与BP神经网络模型的预测结果做了比较,分析了两种方法在核函数及相关参数、网络结构、神经元数目选择方面各自不同的特点。实验结果表明,基于ε-支持向量回归机和BP神经网络模型的碳通量预测结果与碳通量实测值之间存在显著相关性。但ε-支持向量回归机方法的预测过程更易掌控,整体预测精度高于BP神经网络的精度。     

基于小波变换和支持向量机的水质预测

提出基于小波变换和支持向量机的水质预测模型。该模型运用小波变换得到水质时间序列在不同尺度下的变化特性,并用改进后的粒子群算法优化回归支持向量机的三个参数,提高了模型预测精度。运用该模型对王江泾自动监测站测得的溶解氧浓度进行了1步预测及2步预测,10组测试样本最高MAPE为4.54%,并用基于BP神经网络的预测结果进行了比较。结果表明,该模型性能良好、预测精度高、简便易行,比基于BP神经网络的模型具有更好的预测效果,为水质预测提供了一种有效的方法。     

基于支持向量机的室内舒适度评价方法

针对室内环境因素多元化、动态变化的特点和目前评价方法的不足,建立了基于支持向量机的室内舒适度混合评判模型。首先将从真实环境中采集的数据集进行数据规范化处理;然后根据群体和个体感觉,分别用离线训练和在线训练的方法训练分类器;最后使用训练好的分类器预测样本的标签。以Matlab为开发工具,编写了基于支持向量机的室内舒适度评价算法,并与BP神经网络和概率神经网络等室内舒适度评价算法进行了比较,仿真结果表明,该方法是可行且有效的。     

一种实用的火电厂飞灰含碳量软测量建模方法

提出了同时利用自适应加权融合和最小二乘支持向量机建模的实用新方法。首先,给出了基于小波的自适应加权融合和最小二乘支持向量机算法;其次,将BP神经网络、最小二乘支持向量机和基于小波的自适应加权融合的最小二乘支持向量机算法进行建模精度比较;最后,采用真实火电厂飞灰含碳量数据进行模型验证与预测,仿真结果表明基于小波的自适应加权融合的最小二乘支持向量机算法具有较好的建模精度和实用性。     

基于LS-SVM的石油期货价格预测研究

建立了基于最小二乘支持向量机的石油期货价格预测模型。应用该模型对纽约商品交易市场的两种石油期货价格数据进行了预测,并将预测结果与RBF神经网络的预测结果进行了比较。研究结果表明最小二乘支持向量机预测模型具有较高的拟合和预测精度,明显优于RBF神经网络预测模型。     

Testing Forecast Accuracy of Foreign Exchange Rates: Predictions from Feed Forward and Various Recurrent Neural Network Architectures

In this research, we work with data of futures contracts on foreign exchange rates for British pound (BP), Canadian dollar (CD), and Japanese yen (JY) that are traded at the Chicago Mercantile Exchange (CME) against US dollars. We model relationships between exchange rates in these currencies using linear models, feed forward artificial neural networks (ANN), and three versions of recurrent neural networks (RNN1, RNN2 and RNN3) for predicting exchange rates in these currencies against the US dollar. Our results on forecast evaluations based on AGS test the tests of forecast equivalence between any two competing models among the entire models employed for each of the series show that ANN and the three versions of RNN models offer superior forecasts for predicting BP, CD and JY exchange rates although the forecast evaluations based on MGN test are in sharp contrast. On the other hand forecast based on SIGN test shows that ANN and all the versions of RNN models offer superior forecasts for BP and CD in exception of JY exchange rates. The results for forecast evaluation for all the models for each of the series based on summary measures of forecast evaluations show that RNN3 model appears to offer the most accurate predictions of BP and RNN1 for JP exchange rates. However, none of the RNN models appear to be statistically superior to the benchmark (i.e., linear model) for predicting CD exchange rates.      

一种自组织混合模型在汇率波动性预测中的应用

汇率波动性的预测一直以来是研究金融市场者关注的焦点之一,本文拓展了一种基于自组织神经网络技术的,用于预测非平稳汇率波动性的自组织混合模型(SOMAR).SOMAR突破了传统模型对平稳性的假设,变全局建模为局部建模,使得全局非平稳数据变成局部平稳数据.同时,它也是一种基于神经元网络技术的非参数回归模型,结合传统回归模型的简易性和神经元网络算法的灵活性,拓展模型(ESOMAR)提高了对数据异构的适应性.在对汇率波动性的预测实验中,ESOMAR体现出优于传统回归模型和一些基于其它神经元网络模型的效果,并证明了它在预测金融数据方面所具有的价值.     

Modeling currency exchange rate time series

Previous studies have shown that a random walk model is an appropriate time series model for explaining exchange rate time series. This analysis is based on the assumption that the variance of an exchange rate time series is homogeneous with respect to time. This paper shows that this assumption may be violated for exchange rate time series. The monthly exchange rate of German Deutschemark per U.S. dollar is considered. The data ranges from March 1973 to December 1984. The starting point roughly coincides with the beginning of the floating rate regime. It is seen that a non-linear model would be more appropriate than a linear model for explaining this exchange rate time series.     

A combined Independent Component Analysis–Neural Network model for forecasting exchange rate variation

The currency market is one of the most efficient markets, making it very difficult to predict future prices. Several studies have sought to develop more accurate models to predict the future exchange rate by analyzing econometric models, developing artificial intelligence models and combining both through the creation of hybrid models. This paper proposes a hybrid model for forecasting the variations of five exchange rates related to the US Dollar: Euro, British Pound, Japanese Yen, Swiss Franc and Canadian Dollar. The proposed model uses Independent Component Analysis (ICA) to deconstruct the series into independent components as well as neural networks (NN) to predict each component. This method differentiates this study from previous works where ICA has been used to extract the noise of time series or used to obtain explanatory variables that are then used in forecasting. The proposed model is then compared to random walk, autoregressive and conditional variance models, neural networks, recurrent neural networks and long–short term memory neural networks. The hypothesis of this study supposes that first deconstructing the exchange rate series and then predicting it separately would produce better forecasts than traditional models. By using the mean squared error and mean absolute percentage error as a measures of performance and Model Confidence Sets to statistically test the superiority of the proposed model, our results showed that this model outperformed the other models examined and significantly improved the accuracy of forecasts. These findings support this model’s use in future research and in decision-making related to investments.     

基于相空间重构与卡尔曼滤波计算组合的短期汇率预测

用微熵率法求得相空间重构的最优嵌入维数及时滞,应用最优嵌入维数及时滞对一维汇率数据进行延时嵌入相空间重构.然后,应用卡尔曼滤波算法在重构后的相空间中对汇率系统进行建模与预测.实验结果与遗传(GA)神经网络预测进行了比较,实践表明,该算法在短期汇率预测中,速度及准确率上均优于GA神经网络.     

Financial time series prediction using polynomial pipelined neural networks

This paper proposes a novel type of higher-order pipelined neural network: the polynomial pipelined neural network. The proposed network is constructed from a number of higher-order neural networks concatenated with each other to predict highly nonlinear and nonstationary signals based on the engineering concept of divide and conquer. The polynomial pipelined neural network is used to predict the exchange rate between the US dollar and three other currencies. In this application, two sets of experiments are carried out. In the first set, the input data are pre-processed between 0 and 1 and passed to the neural networks as nonstationary data. In the second set of experiments, the nonstationary input signals are transformed into one step relative increase in price. The network demonstrates more accurate forecasting and an improvement in the signal to noise ratio over a number of benchmarked neural networks.     

A distance-based fuzzy time series model for exchange rates forecasting

Fuzzy time series model has been successfully employed in predicting stock prices and foreign exchange rates. In this paper, we propose a new fuzzy time series model termed as distance-based fuzzy time series (DBFTS) to predict the exchange rate. Unlike the existing fuzzy time series models which require exact match of the fuzzy logic relationships (FLRs), the distance-based fuzzy time series model uses the distance between two FLRs in selecting prediction rules. To predict the exchange rate, a two factors distance-based fuzzy time series model is constructed. The first factor of the model is the exchange rate itself and the second factor comprises many candidate variables affecting the fluctuation of exchange rates. Using the exchange rate data released by the Central Bank of Taiwan, we conducted several experiments on exchange rate forecasting. The experiment results showed that the distance-based fuzzy time series outperformed the random walk model and the artificial neural network model in terms of mean square error.     

Evolving Recurrent Neural Network using Cartesian Genetic Programming to Predict The Trend in Foreign Currency Exchange Rates

Forecasting the foreign exchange rate is an uphill task. Numerous methods have been used over the years to develop an efficient and reliable network for forecasting the foreign exchange rate. This study utilizes recurrent neural networks (RNNs) for forecasting the foreign currency exchange rates. Cartesian genetic programming (CGP) is used for evolving the artificial neural network (ANN) to produce the prediction model. RNNs that are evolved through CGP have shown great promise in time series forecasting. The proposed approach utilizes the trends present in the historical data for its training purpose. Thirteen different currencies along with the trade-weighted index (TWI) and special drawing rights (SDR) is used for the performance analysis of recurrent Cartesian genetic programming-based artificial neural networks (RCGPANN) in comparison with various other prediction models proposed to date. The experimental results show that RCGPANN is not only capable of obtaining an accurate but also a computationally efficient prediction model for the foreign currency exchange rates. The results demonstrated a prediction accuracy of 98.872 percent (using 6 neurons only) for a single-day prediction in advance and, on average, 92% for predicting a 1000 days’ exchange rate in advance based on ten days of data history. The results prove RCGPANN to be the ultimate choice for any time series data prediction, and its capabilities can be explored in a range of other fields.     

Testing, monitoring, and dating structural changes in exchange rate regimes

Linear regression models for de facto exchange rate regime classification are complemented by inferential techniques for evaluating the stability of the regimes. To simultaneously assess parameter instabilities in the regression coefficients and the error variance an (approximately) normal regression model is adopted and a unified toolbox for testing, monitoring, and dating structural changes is provided for general (quasi-)likelihood-based regression models. Subsequently, the toolbox is employed for investigating the Chinese exchange rate regime after China gave up on a fixed exchange rate to the US dollar in 2005 and for tracking the evolution of the Indian exchange rate regime from 1993 until 2008.