A Clustering-Based Nonlinear Ensemble Approach for Exchange Rates Forecasting

doi:10.1109/TSMC.2018.2799869

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	A Clustering-Based Nonlinear Ensemble Approach for Exchange Rates Forecasting
	Sun, Shaolong 1,2,3; Wang, Shouyang 1,2,4; Wei, Yunjie 1,4,5; Zhang, Guowei 1,2
	2020-06-01
发表期刊	IEEE TRANSACTIONS ON SYSTEMS MAN CYBERNETICS-SYSTEMS
ISSN	2168-2216
卷号	50 期号:6 页码:2284-2292
摘要	A clustering-based nonlinear ensemble (CNE) learning approach is proposed in this paper to forecast exchange rates. In the proposed CNE learning approach: 1) a self-organizing map neural network is introduced to cluster the in-sample component forecasts; 2) kernel-based extreme learning machine is employed to calculate the in-sample ensemble weights for each cluster; and 3) the corresponding clusters' in-sample ensemble weights are used for out-of-sample component forecasts to obtain the ensemble forecasts. To illustrate and verify the effectiveness of our proposed model, we test its directional and level forecasting accuracy using four major exchange rates. The out-of-sample forecasting performance results show that the proposed CNE learning approach consistently outperforms the component models and other ensemble learning approaches in terms of the directional forecasting accuracy and the level forecasting accuracy.
关键词	Forecasting Exchange rates Predictive models Self-organizing feature maps Clustering algorithms exchange rates forecasting kernel-based extreme learning machine (KELM) nonlinear ensemble
DOI	10.1109/TSMC.2018.2799869
收录类别	SCI
语种	英语
资助项目	National Natural Science Foundation of China[71373262]
WOS研究方向	Automation & Control Systems ; Computer Science
WOS类目	Automation & Control Systems ; Computer Science, Cybernetics
WOS记录号	WOS:000536768200028
出版者	IEEE-INST ELECTRICAL ELECTRONICS ENGINEERS INC
引用统计
文献类型	期刊论文
条目标识符	http://ir.amss.ac.cn/handle/2S8OKBNM/51492
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.Chinese Acad Sci, Acad Math & Syst Sci, Beijing 100190, Peoples R China 2.Univ Chinese Acad Sci, Sch Econ & Management, Beijing 100190, Peoples R China 3.City Univ Hong Kong, Dept Syst Engn & Engn Management, Hong Kong, Peoples R China 4.Chinese Acad Sci, Ctr Forecasting Sci, Beijing 100190, Peoples R China 5.City Univ Hong Kong, Dept Management Sci, Hong Kong, Peoples R China
推荐引用方式 GB/T 7714	Sun, Shaolong,Wang, Shouyang,Wei, Yunjie,et al. A Clustering-Based Nonlinear Ensemble Approach for Exchange Rates Forecasting[J]. IEEE TRANSACTIONS ON SYSTEMS MAN CYBERNETICS-SYSTEMS,2020,50(6):2284-2292.
APA	Sun, Shaolong,Wang, Shouyang,Wei, Yunjie,&Zhang, Guowei.(2020).A Clustering-Based Nonlinear Ensemble Approach for Exchange Rates Forecasting.IEEE TRANSACTIONS ON SYSTEMS MAN CYBERNETICS-SYSTEMS,50(6),2284-2292.
MLA	Sun, Shaolong,et al."A Clustering-Based Nonlinear Ensemble Approach for Exchange Rates Forecasting".IEEE TRANSACTIONS ON SYSTEMS MAN CYBERNETICS-SYSTEMS 50.6(2020):2284-2292.