A new multiscale decomposition ensemble approach for forecasting exchange rates

doi:10.1016/j.econmod.2018.12.013

CSpace > 系统科学研究所

	A new multiscale decomposition ensemble approach for forecasting exchange rates
	Sun, Shaolong 1,2,3; Wang, Shouyang1,2,3 ; Wei, Yunjie1,3
	2019-09-01
发表期刊	ECONOMIC MODELLING
ISSN	0264-9993
卷号	81 页码:49-58
摘要	Due 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.
关键词	Exchange rates forecasting Variational mode decomposition Support vector regression Support vector neural network Ensemble learning
DOI	10.1016/j.econmod.2018.12.013
语种	英语
资助项目	National Natural Science Foundation of China[71801213] ; National Natural Science Foundation of China[71642006]
WOS研究方向	Business & Economics
WOS类目	Economics
WOS记录号	WOS:000487568500005
出版者	ELSEVIER
引用统计
文献类型	期刊论文
条目标识符	http://ir.amss.ac.cn/handle/2S8OKBNM/35709
专题	系统科学研究所
通讯作者	Wei, Yunjie
作者单位	1.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
推荐引用方式 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.