A decomposition clustering ensemble learning approach for forecasting foreign exchange rates

Yunjie Wei; Shaolong Sun; Jian Ma; Shouyang Wang; Kin Keung Lai

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A decomposition clustering ensemble learning approach for forecasting foreign exchange rates

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摘要

A decomposition clustering ensemble(DCE)learning approach is proposed for forecasting foreign exchange rates by integrating the variational mode decomposition(VMD),the selforganizing map(SOM)network,and the kemel extreme leaming machine(KELM).First,the exchange rate time series is decomposed into N subcomponents by the VMD method.Second,each subcomponent series is modeled by the KELM.Third,the SOM neural network is introduced to cluster the subcomponent forecasting results of the in-sample dataset to obtain cluster centers.Finally,each cluster''s ensemble weight is estimated by another KELM,and the final forecasting results are obtained by the corresponding clusters''ensemble weights.The empirical results illustrate that our proposed DCE learning approach can significantly improve forecasting performance,and statistically outperform some other benchmark models in directional and level forecasting accuracy.

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《管理科学学报：英文版》 |2019年第1期|P.45-54|共10页
作者
Yunjie Wei; Shaolong Sun; Jian Ma; Shouyang Wang; Kin Keung Lai;
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作者单位

Academy of Mathematics and Systems Science Chinese Academy of Sciences Beijing 100190 ChinaCenter for Forecasting Science Chinese Academy of Sciences Beijing 100190 ChinaDepartment of Information Systems City University of Hong Kong Tat Chee Avenue Kowloon Hong Kong China;

Academy of Mathematics and Systems Science Chinese Academy of Sciences Beijing 100190 ChinaSchool of Economics and Management University of Chinese Academy of Sciences Beijing 100190 ChinaSchool of Data Science City University of Hong Kong Tat Chee Avenue Kowloon Hong Kong China;

Department of Information Systems City University of Hong Kong Tat Chee Avenue Kowloon Hong Kong China;

Academy of Mathematics and Systems Science Chinese Academy of Sciences Beijing 100190 ChinaSchool of Economics and Management University of Chinese Academy of Sciences Beijing 100190 ChinaDepartment of Management Sciences City University of Hong Kong Tat Chee Avenue Kowloon Hong Kong China;

International Business School Shaanxi Normal University Xi''an 710119 ChinaDepartment of Industrial and Manufacturing Systems Engineering Hong Kong University Hong Kong China;

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原文格式 PDF
正文语种 chi
中图分类计算技术、计算机技术;
关键词
Exchange rates forecasting; Variational mode decomposition; Kernel extreme learning machine; Self-organizing map; Decomposition ensemble learning;

机译：汇率预测;变分模式分解;核极限学习机;自组织图;分解集成学习;

A decomposition clustering ensemble learning approach for forecasting foreign exchange rates

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