A novel nonlinear ensemble forecasting model incorporating GLAR and ANN for foreign exchange rates

doi:10.1016/j.cor.2004.06.024

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	A novel nonlinear ensemble forecasting model incorporating GLAR and ANN for foreign exchange rates
	Yu, L ; Wang, SY ; Lai, KK
	2005-10-01
发表期刊	COMPUTERS & OPERATIONS RESEARCH
ISSN	0305-0548
卷号	32 期号:10 页码:2523-2541
摘要	In this study, we propose a novel nonlinear ensemble forecasting model integrating generalized linear autoregression (GLAR) with artificial neural networks (ANN) in order to obtain accurate prediction results and ameliorate forecasting performances. We compare the new model's performance with the two individual forecasting models-GLAR and ANN-as well as with the hybrid model and the linear combination models. Empirical results obtained reveal that the prediction using the nonlinear ensemble model is generally better than those obtained using the other models presented in this study in terms of the same evaluation measurements. Our findings reveal that the nonlinear ensemble model proposed here can be used as an alternative forecasting tool for exchange rates to achieve greater forecasting accuracy and improve prediction quality further. (c) 2004 Elsevier Ltd. All rights reserved.
关键词	GLAR AW nonlinear ensemble model forecasting foreign exchange rates
DOI	10.1016/j.cor.2004.06.024
语种	英语
WOS研究方向	Computer Science ; Engineering ; Operations Research & Management Science
WOS类目	Computer Science, Interdisciplinary Applications ; Engineering, Industrial ; Operations Research & Management Science
WOS记录号	WOS:000228207700004
出版者	PERGAMON-ELSEVIER SCIENCE LTD
引用统计
文献类型	期刊论文
条目标识符	http://ir.amss.ac.cn/handle/2S8OKBNM/1480
专题	中国科学院数学与系统科学研究院
通讯作者	Lai, KK
作者单位	1.City Univ Hong Kong, Dept Management Sci, Kowloon, Hong Kong, Peoples R China 2.Chinese Acad Sci, Grad Sch, Beijing 100080, Peoples R China 3.Chinese Acad Sci, Acad Math & Syst Sci, Inst Syst Sci, Beijing 100080, Peoples R China
推荐引用方式 GB/T 7714	Yu, L,Wang, SY,Lai, KK. A novel nonlinear ensemble forecasting model incorporating GLAR and ANN for foreign exchange rates[J]. COMPUTERS & OPERATIONS RESEARCH,2005,32(10):2523-2541.
APA	Yu, L,Wang, SY,&Lai, KK.(2005).A novel nonlinear ensemble forecasting model incorporating GLAR and ANN for foreign exchange rates.COMPUTERS & OPERATIONS RESEARCH,32(10),2523-2541.
MLA	Yu, L,et al."A novel nonlinear ensemble forecasting model incorporating GLAR and ANN for foreign exchange rates".COMPUTERS & OPERATIONS RESEARCH 32.10(2005):2523-2541.