TY - JOUR
T1 - Euro exchange rate forecasting with differential neural networks with an extended tracking procedure
AU - Ortiz-Arango, Francisco
AU - Cabrera-Llanos, Agustín I.
AU - Venegas-Martínez, Francisco
N1 - Publisher Copyright:
© 2016 Academic Publications, Ltd.
PY - 2016
Y1 - 2016
N2 - This paper develops a new kind of non-parametrical artificial neural network useful to forecast exchange rates. We departure from the Differential Neural Networks (DNN) framework and extend the tracking procedure. Under this approach, we examine daily closing exchange rates of Euro against US dollar, Japanese yen and British pound. With our proposal, extended DNN or EDNN, we perform the tracking procedure from February 15, 1999, to August 31, 2013, and, subsequently, the forecasting procedure from September 2 to September 13, 2013. The accuracy of the obtained results is remarkable, since the error percentage in the forecasting period varies from 0.001.
AB - This paper develops a new kind of non-parametrical artificial neural network useful to forecast exchange rates. We departure from the Differential Neural Networks (DNN) framework and extend the tracking procedure. Under this approach, we examine daily closing exchange rates of Euro against US dollar, Japanese yen and British pound. With our proposal, extended DNN or EDNN, we perform the tracking procedure from February 15, 1999, to August 31, 2013, and, subsequently, the forecasting procedure from September 2 to September 13, 2013. The accuracy of the obtained results is remarkable, since the error percentage in the forecasting period varies from 0.001.
KW - Artificial neural network
KW - Differential neural network
KW - Exchange rates
KW - Tracking and forecasting
UR - http://www.scopus.com/inward/record.url?scp=84962086843&partnerID=8YFLogxK
U2 - 10.12732/ijpam.v107i1.8
DO - 10.12732/ijpam.v107i1.8
M3 - Artículo
SN - 1311-8080
VL - 107
SP - 87
EP - 109
JO - International Journal of Pure and Applied Mathematics
JF - International Journal of Pure and Applied Mathematics
IS - 1
ER -