Selection of the appropriate lag structure of foreign exchange rates forecasting based on autocorrelation coefficient

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	Selection of the appropriate lag structure of foreign exchange rates forecasting based on autocorrelation coefficient
	Huang, Wei ; Wang, Shouyang; Zhang, Hui ; Xiao, Renbin
	2006
发表期刊	ADVANCES IN NEURAL NETWORKS - ISNN 2006, PT 3, PROCEEDINGS
ISSN	0302-9743
卷号	3973 页码:512-517
摘要	We propose a new criterion, called autocorrelation coefficient criterion (ACC) to select the appropriate lag structure of foreign exchange rates forecasting with neural networks, and design the corresponding algorithm. The criterion and algorithm are data-driven in that there is no prior assumption about the models for time series under study. We conduct the experiments to compare the prediction performance of the neural networks based on the different lag structures by using the different criterions. The experiment results show that ACC performs best in selecting the appropriate lag structure for foreign exchange rates forecasting with neural networks.
语种	英语
WOS研究方向	Computer Science
WOS类目	Computer Science, Artificial Intelligence ; Computer Science, Theory & Methods
WOS记录号	WOS:000239485300075
出版者	SPRINGER-VERLAG BERLIN
引用统计
文献类型	期刊论文
条目标识符	http://ir.amss.ac.cn/handle/2S8OKBNM/2549
专题	系统科学研究所
通讯作者	Huang, Wei
作者单位	1.Huazhong Univ Sci & Technol, Sch Management, Wuhan 730074, Peoples R China 2.Chinese Acad Sci, Acad Math & Syst Sci, Inst Syst Sci, Beijing 100080, Peoples R China 3.Japan Adv Inst Sci & Technol, Sch Knowledge Sci, Tatsunokuchi, Ishikawa 9231292, Japan 4.SW Univ Sci & Technol, Sch Comp Sci, Sichuan 621002, Peoples R China
推荐引用方式 GB/T 7714	Huang, Wei,Wang, Shouyang,Zhang, Hui,et al. Selection of the appropriate lag structure of foreign exchange rates forecasting based on autocorrelation coefficient[J]. ADVANCES IN NEURAL NETWORKS - ISNN 2006, PT 3, PROCEEDINGS,2006,3973:512-517.
APA	Huang, Wei,Wang, Shouyang,Zhang, Hui,&Xiao, Renbin.(2006).Selection of the appropriate lag structure of foreign exchange rates forecasting based on autocorrelation coefficient.ADVANCES IN NEURAL NETWORKS - ISNN 2006, PT 3, PROCEEDINGS,3973,512-517.
MLA	Huang, Wei,et al."Selection of the appropriate lag structure of foreign exchange rates forecasting based on autocorrelation coefficient".ADVANCES IN NEURAL NETWORKS - ISNN 2006, PT 3, PROCEEDINGS 3973(2006):512-517.