A Cross-Validation Analysis of Neural Network Out-of-Sample Performance in Exchange Rate Forecasting

Michael Y. Hu; Guoqiang (Peter) Zhang; Christine X. Jiang3 and B. Eddy Patuwo

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A Cross-Validation Analysis of Neural Network Out-of-Sample Performance in Exchange Rate Forecasting

机译：汇率预测中神经网络样本外绩效的交叉验证分析

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Econometric methods used in foreign exchange rate forecasting have produced inferior out-of-sample results compared to a random walk model. Applications of neural networks have shown mixed findings. In this paper, we investigate the potentials of neural network models by employing two cross-validation schemes. The effects of different in-sample time periods and sample sizes are examined. Out-of-sample performance evaluated with four criteria across three forecasting horizons shows that neural networks are a more robust forecasting method than the random walk model. Moreover, neural network predictions are quite accurate even when the sample size is relatively small.

机译：与随机游走模型相比，用于汇率预测的计量经济学方法产生的样本外结果差。神经网络的应用显示出不同的发现。在本文中，我们通过采用两种交叉验证方案来研究神经网络模型的潜力。检查了不同的样本内时间段和样本量的影响。在三个预测范围内使用四个标准评估的样本外性能表明，与随机游动模型相比，神经网络是一种更可靠的预测方法。此外，即使样本量相对较小，神经网络预测也非常准确。

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来源
《Decision sciences》 |1999年第1期|197-216|共20页
作者
Michael Y. Hu; Guoqiang (Peter) Zhang; Christine X. Jiang3 and B. Eddy Patuwo;
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作者单位

Department of Marketing Kent State University Kent OH 44240;

and Department of International Business Chinese University of Hong Kong email;

mhu@bsa3.kent.edu;

Department of Decision Sciences J. Mack Robinson College of Business Georgia State University Atlanta GA 30303 email;

gpzhang@gsu.edu;

Graduate School of Management Kent State University Kent OH 44240 email;

cjiang@bsa3.kent.edu epatuwo@bsa3.kent.edu;

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原文格式 PDF
正文语种 eng
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关键词
Capital/Asset Pricing; Foreign Exchange Rates; Neural Networks; Time Series Forecasting;

机译：资本/资产定价;外汇汇率;神经网络;时间序列预测;

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专利

1. A Cross-Validation Analysis of Neural Network Out-of Sample Performance in Exchange Rate Forecasting [J] . Michael Y. Hu, Guoqiang (Peter) Zhang, Christine X. Jiang Decision Sciences . 1999,第1期

机译：汇率预测中神经网络样本外绩效的交叉验证分析
2. Time Series Forecasting: Analysis of LSTM Neural Networks to Predict Exchange Rates of Currencies [J] . Samith WIJESINGHE 仪器仪表学报：英文版 . 2020,第004期

机译：时间序列预测：LSTM神经网络预测货币汇率分析
3. Using Artificial Neural Networks to forecast Exchange Rate, including VAR‐VECM residual analysis and prediction linear combination [J] . Alejandro Parot, Kevin Michell, Werner D. Kristjanpoller International journal of intelligent systems in accounting, finance & management . 2019,第1期

机译：使用人工神经网络预测汇率，包括VAR‐VECM残差分析和预测线性组合
4. Towards Designing and Performance Analysis of Evolving Higher Order Neural Networks for Modeling and Forecasting Exchange Rate Time Series Data [C] . Kishore Kumar Sahu, Sarat Chandra Nayak, Himansu Sekhar Behera International conference on emerging trends in information technology . 2020

机译：朝着建模和预测汇率时间序列数据发展和绩效分析的发展和性能分析
5. Forecasting exchange rates using ARMA and neural network models. [D] . Mammadova, Gulnara. 2010

机译：使用ARMA和神经网络模型预测汇率。
6. Intelligent Soft Computing on Forex: Exchange Rates Forecasting with Hybrid Radial Basis Neural Network [O] . Lukas Falat, Dusan Marcek, Maria Durisova 2016

机译：外汇上的智能软计算：基于混合径向基神经网络的汇率预测
7. 2006) “The Out-of-Sample Forecasting Performance of Nonlinear Models of Real Exchange Rate Behavior [O] . David E. Rapach, Mark E. Wohar 2015

机译：2006）“实际汇率行为非线性模型的样本外预测性能”

A Cross-Validation Analysis of Neural Network Out-of-Sample Performance in Exchange Rate Forecasting

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