Exchange Rate Prediction using Neural – Genetic Model

• Main Authors: MECHGOUG Raihane, TITAOUINE Nacer
• Format: Article
• Language: English
• Published: Editura Universităţii din Oradea 2012-10-01
• Series: Journal of Electrical and Electronics Engineering
• Subjects: Prediction; Time Series; Foreign Exchange; Neural Network; Genetic Algorithm
• Online Access: http://electroinf.uoradea.ro/images/articles/CERCETARE/Reviste/JEEE/JEEE_V5_N2_OCT_2012/Mechgoug%20oct2012.pdf

Neural network have successfully used for exchange rate forecasting. However, due to a large number of parameters to be estimated empirically, it is not a simple task to select the appropriate neural network architecture for exchange rate forecasting problem.Researchers often overlook the effect of neural network parameters on the performance of neural network forecasting. The performance of neural network is critically dependant on the learning algorithms, thenetwork architecture and the choice of the control parameters. Even when a suitable setting of parameters (weight) can be found, the ability of the resulting network to generalize the data not seen during learning may be far from optimal. For these reasons it seemslogical and attractive to apply genetic algorithms. Genetic algorithms may provide a useful tool for automating the design of neural network. The empirical results on foreign exchange rate prediction indicate that the proposed hybrid model exhibits effectively improved accuracy, when is compared with some other time series forecasting models.