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The purpose of this paper is to evaluate and benchmark ensemble methods for time series prediction for daily currency exchange rates using ensemble feedforward neural networks and kernel partial least squares (K-PLS). Best-practice forecasting methods for the US Dollar (USD) per Indian Rupee (IR) are applied for training, validating, and testing the machine learning models. In order to perform the...
From the current economic climate results in fluctuations of currency exchange rates in all countries. Since the most countries use U.S. Dollar as the reference exchange rate. The exchange rate will change from time to time so variety of factors which affect the exchange rate forecasting in the exchange rates in advance are critical to evaluate for the impact of the economic system of each country...
Nowadays turbulent environment exposes global producing companies to many risks caused by uncertain parameters. Therefore, a correct evaluation of investments in factories including uncertainties becomes increasingly important. Existing monetary evaluation methods as the calculation of the net present value (NPV) integrate only static parameters like wages, material costs or overhead costs. Most evaluating...
Changes in currency exchange rates can bring significant impact to international macroeconomics and vice versa. Discovering co-movement patterns of currencies in a specific period can help explain economic and financial relationships between the countries under the flexible exchange rate system. In order to discover various co-movement patterns of foreign exchange rates, we propose an evolutionary...
Forecasting currency exchange rates is an important issue in finance. This topic has received much attention, particularly in econometrics and financial selection of variables that influence forecasts. In this paper, a new forecasting model is constructed: we adopt a Genetic Algorithm (GA) to provide the optimal variables weight and we select the optimal set of variables as the input layer neurons,...
The correlation between different currency exchange rates has been studied for many years and a number of techniques have been developed. In this paper, we present a new algorithm to analyze the correlation between exchange rates based on biclustering. This algorithm is comprised of two parts. In the first part, the fast Hough transform is used to detect the lines in the exchange rate pair space....
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