KMS Of Academy of mathematics and systems sciences, CAS
| A Clustering-Based Nonlinear Ensemble Approach for Exchange Rates Forecasting | |
| Sun, Shaolong1,2,3; Wang, Shouyang1,2,4; Wei, Yunjie1,4,5; Zhang, Guowei1,2 | |
| 2020-06-01 | |
| Source Publication | IEEE TRANSACTIONS ON SYSTEMS MAN CYBERNETICS-SYSTEMS
 |
| ISSN | 2168-2216 |
| Volume | 50Issue:6Pages:2284-2292 |
| Abstract | 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. |
| Keyword | 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 |
| Indexed By | SCI |
| Language | 英语 |
| Funding Project | National Natural Science Foundation of China[71373262] |
| WOS Research Area | Automation & Control Systems ; Computer Science |
| WOS Subject | Automation & Control Systems ; Computer Science, Cybernetics |
| WOS ID | WOS:000536768200028 |
| Publisher | IEEE-INST ELECTRICAL ELECTRONICS ENGINEERS INC |
| Citation statistics | |
| Document Type | 期刊论文 |
| Identifier | http://ir.amss.ac.cn/handle/2S8OKBNM/51492 |
| Collection | 中国科学院数学与系统科学研究院 |
| Corresponding Author | Wei, Yunjie |
| Affiliation | 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 |
| Recommended Citation 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. |
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