AN EMPIRICAL ANALYSIS OF SAMPLING INTERVAL FOR EXCHANGE RATE FORECASTING WITH NEURAL NETWORKS

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	AN EMPIRICAL ANALYSIS OF SAMPLING INTERVAL FOR EXCHANGE RATE FORECASTING WITH NEURAL NETWORKS
其他题名	An empirical analysis of sampling interval for exchange rate forecasting with neural networks
	Huang Wei 1; Lai K K 2; Nakamori Y 3; Wang Shouyang 1
	2003
发表期刊	系统科学与复杂性：英文版
ISSN	1009-6124
卷号	16.0 期号:002 页码:165-176
摘要	Artificial neural networks (ANNs) have been widely used as a promising alternative approach for forecast task because of their several distinguishing features. In this paper, we investigate the effect of different sampling intervals on predictive performance of ANNs in forecasting exchange rate time series. It is shown that selection of an appropriate sampling interval would permit the neural network to model adequately the financial time series. Too short or too long a sampling interval does not provide good forecasting accuracy. In addition, we discuss the effect of forecasting horizons and input nodes on the prediction performance of neural networks.
其他摘要	Artificial neural networks (ANNs) have been widely used as a promising alternative approach for forecast task because of their several distinguishing features. In this paper, we investigate the effect of different sampling intervals on predictive performance of ANNs in forecasting exchange rate time series. It is shown that selection of an appropriate sampling interval would permit the neural network to model adequately the financial time series. Too short or too long a sampling interval does not provide good forecasting accuracy. In addition, we discuss the effect of forecasting horizons and input nodes on the prediction performance of neural networks.
关键词	神经网络经验分析抽样间隔汇率预测金融研究
收录类别	CSCD
语种	中文
CSCD记录号	CSCD:1272879
引用统计
文献类型	期刊论文
条目标识符	http://ir.amss.ac.cn/handle/2S8OKBNM/53458
专题	中国科学院数学与系统科学研究院
作者单位	1.中国科学院数学与系统科学研究院 2.香港城市大学 3.解放军火箭军工程大学
推荐引用方式 GB/T 7714	Huang Wei,Lai K K,Nakamori Y,et al. AN EMPIRICAL ANALYSIS OF SAMPLING INTERVAL FOR EXCHANGE RATE FORECASTING WITH NEURAL NETWORKS[J]. 系统科学与复杂性：英文版,2003,16.0(002):165-176.
APA	Huang Wei,Lai K K,Nakamori Y,&Wang Shouyang.(2003).AN EMPIRICAL ANALYSIS OF SAMPLING INTERVAL FOR EXCHANGE RATE FORECASTING WITH NEURAL NETWORKS.系统科学与复杂性：英文版,16.0(002),165-176.
MLA	Huang Wei,et al."AN EMPIRICAL ANALYSIS OF SAMPLING INTERVAL FOR EXCHANGE RATE FORECASTING WITH NEURAL NETWORKS".系统科学与复杂性：英文版 16.0.002(2003):165-176.