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A new multiscale decomposition ensemble approach for forecasting exchange rates
Sun, Shaolong1,2,3; Wang, Shouyang1,2,3; Wei, Yunjie1,3
2019-09-01
Source PublicationECONOMIC MODELLING
ISSN0264-9993
Volume81Pages:49-58
AbstractDue to the high complexity and strong nonlinearity nature of foreign exchange rates, how to forecast foreign exchange rate accurately is regarded as a challenging research topic. Therefore, developing highly accurate forecasting method is of great significance to investors and policy makers. A new multiscale decomposition ensemble approach to forecast foreign exchange rates is proposed in this paper. In the approach, the variational mode decomposition (VMD) method is utilized to divide foreign exchange rates into a finite number of subcomponents; the support vector neural network (SVNN) technique is used to model and forecast each subcomponent respectively; another SVNN technique is utilized to integrate the forecasting results of each subcomponent to generate the final forecast results. To verify the superiority of the proposed approach, four major exchange rates were chosen for model comparison and evaluation. The experimental results indicate that our proposed VMD-SVNN-SVNN multiscale decomposition ensemble approach outperforms some other benchmarks in terms of forecasting accuracy and statistical tests. This demonstrates that our proposed VMD-SVNN-SVNN multiscale decomposition ensemble approach is promising for forecasting foreign exchange rates.
KeywordExchange rates forecasting Variational mode decomposition Support vector regression Support vector neural network Ensemble learning
DOI10.1016/j.econmod.2018.12.013
Language英语
Funding ProjectNational Natural Science Foundation of China[71801213] ; National Natural Science Foundation of China[71642006]
WOS Research AreaBusiness & Economics
WOS SubjectEconomics
WOS IDWOS:000487568500005
PublisherELSEVIER
Citation statistics
Document Type期刊论文
Identifierhttp://ir.amss.ac.cn/handle/2S8OKBNM/35709
Collection系统科学研究所
Corresponding AuthorWei, Yunjie
Affiliation1.Chinese Acad Sci, Acad Math & Syst Sci, Zhongguancun East Rd 55, Beijing 100190, Peoples R China
2.Univ Chinese Acad Sci, Sch Econ & Management, Beijing 100190, Peoples R China
3.Chinese Acad Sci, Ctr Forecasting Sci, Beijing 100190, Peoples R China
Recommended Citation
GB/T 7714
Sun, Shaolong,Wang, Shouyang,Wei, Yunjie. A new multiscale decomposition ensemble approach for forecasting exchange rates[J]. ECONOMIC MODELLING,2019,81:49-58.
APA Sun, Shaolong,Wang, Shouyang,&Wei, Yunjie.(2019).A new multiscale decomposition ensemble approach for forecasting exchange rates.ECONOMIC MODELLING,81,49-58.
MLA Sun, Shaolong,et al."A new multiscale decomposition ensemble approach for forecasting exchange rates".ECONOMIC MODELLING 81(2019):49-58.
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