By Topic

Multi Scale Nonlinear Ensemble Model for Foreign Exchange Rate Prediction

Sign In

Cookies must be enabled to login.After enabling cookies , please use refresh or reload or ctrl+f5 on the browser for the login options.

Formats Non-Member Member
$33 $13
Learn how you can qualify for the best price for this item!
Become an IEEE Member or Subscribe to
IEEE Xplore for exclusive pricing!
close button

puzzle piece

IEEE membership options for an individual and IEEE Xplore subscriptions for an organization offer the most affordable access to essential journal articles, conference papers, standards, eBooks, and eLearning courses.

Learn more about:

IEEE membership

IEEE Xplore subscriptions

3 Author(s)
Kaijian He ; Coll. of Bus. Adm., Hunan Univ., Changsha ; Chi Xie ; Kin Keung Lai

This paper proposes a novel multi scale nonlinear ensemble methodology for analyzing and modeling the complex exchange rate behaviors. Using several techniques integrated under the proposed unified framework, it deals with data characteristics such as autocorrelation, multi scale heterogeneity and parameter instability during the modeling process. The multi scale heterogeneity property is modeled using wavelet analysis while autocorrelation property is modeled under ARMA framework. Combining independent component analysis, the proposed approach improves the model specification stability using support vector regression based nonlinear ensemble framework. Euro market is chosen as the test case for the performance evaluation of the proposed approach. Empirical studies results suggest that the proposed approach improves the forecasting accuracy and stability. It also offers valuable information as to the underlying micro market structure.

Published in:

2008 Fourth International Conference on Natural Computation  (Volume:7 )

Date of Conference:

18-20 Oct. 2008