Interval forecasting of exchange rates: a new interval decomposition ensemble approach

doi:10.1108/IMDS-03-2019-0194

CSpace

	Interval forecasting of exchange rates: a new interval decomposition ensemble approach
	Sun, Shaolong 1,2,3; Wang, Shouyang 2,3,4; Wei, Yunjie 2,4
	2020-04-07
发表期刊	INDUSTRIAL MANAGEMENT & DATA SYSTEMS
ISSN	0263-5577
页码	28
摘要	Purpose Accurate exchange rate forecasting is crucial for decision making regarding financial investments and has attracted a lot of interest of academic researchers and practitioners. An interval decomposition ensemble (IDE) learning approach is proposed to forecast interval-valued exchange rate by integrating bivariate empirical mode decomposition (BEMD), interval multilayer perceptron (MLPI) and interval autoregressive method (AR(I)). Design/methodology/approach BEMD is utilized to decompose the complex-valued signal into a finite number of complex-valued intrinsic mode functions (IMFs) components and one complex-valued residual component. Each non-linear IMF and the linear residual component are modelled by MLPI and AR(I) separately. Finally, MLPI is utilized to ensemble the forecasting results of the lower and upper bounds of all the components to generate the aggregated interval-valued output. Findings The empirical results show that the proposed IDE learning approach with different forecasting horizons and different data frequencies significantly outperforms some other benchmark models by means of forecasting accuracy and hypothesis tests. Originality/value The proposed IDE approach based on the interval-value data, which can take use of the data information furthest and to improve the forecasting performance of exchange rate.
关键词	Exchange rate forecasting Interval-valued data Autoregressive model Neural networks Bivariate empirical mode decomposition
DOI	10.1108/IMDS-03-2019-0194
收录类别	SCI
语种	英语
资助项目	National Natural Science Foundation of China[71801213] ; National Natural Science Foundation of China[71771208] ; National Natural Science Foundation of China[71642006]
WOS研究方向	Computer Science ; Engineering
WOS类目	Computer Science, Interdisciplinary Applications ; Engineering, Industrial
WOS记录号	WOS:000523162200001
出版者	EMERALD GROUP PUBLISHING 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/51065
专题	中国科学院数学与系统科学研究院
通讯作者	Wei, Yunjie
作者单位	1.Xi An Jiao Tong Univ, Sch Management, Xian, Peoples R China 2.Chinese Acad Sci, Acad Math & Syst Sci, Beijing, Peoples R China 3.Univ Chinese Acad Sci, Sch Econ & Management, Beijing, Peoples R China 4.Chinese Acad Sci, Ctr Forecasting Sci, Beijing, Peoples R China
推荐引用方式 GB/T 7714	Sun, Shaolong,Wang, Shouyang,Wei, Yunjie. Interval forecasting of exchange rates: a new interval decomposition ensemble approach[J]. INDUSTRIAL MANAGEMENT & DATA SYSTEMS,2020:28.
APA	Sun, Shaolong,Wang, Shouyang,&Wei, Yunjie.(2020).Interval forecasting of exchange rates: a new interval decomposition ensemble approach.INDUSTRIAL MANAGEMENT & DATA SYSTEMS,28.
MLA	Sun, Shaolong,et al."Interval forecasting of exchange rates: a new interval decomposition ensemble approach".INDUSTRIAL MANAGEMENT & DATA SYSTEMS (2020):28.