DocumentCode
3495289
Title
Forecasting exchange rate with deep belief networks
Author
Chao, Jing ; Shen, Furao ; Zhao, Jinxi
Author_Institution
State Key Lab. for Novel Software Technol., Nanjing Univ., Nanjing, China
fYear
2011
fDate
July 31 2011-Aug. 5 2011
Firstpage
1259
Lastpage
1266
Abstract
Forecasting exchange rates is an important financial problem which has received much attention. Nowadays, neural network has become one of the effective tools in this research field. In this paper, we propose the use of a deep belief network (DBN) to tackle the exchange rate forecasting problem. A DBN is applied to predict both British Pound/US dollar and Indian rupee/US dollar exchange rates in our experiments. We use six evaluation criteria to evaluate its performance. We also compare our method to a feedforward neural network (FFNN), which is the state-of-the-art method for forecasting exchange rate with neural networks. Experiments indicate that deep belief networks (DBNs) are applicable to the prediction of foreign exchange rate, since they achieve better performance than feedforward neural networks (FFNNs).
Keywords
belief networks; exchange rates; neural nets; time series; British Pound/US dollar exchange rates; DBN; Indian rupee/US dollar exchange rates; deep belief networks; feedforward neural network; financial problem; forecasting exchange rate; neural network; Equations; Exchange rates; Feedforward neural networks; Forecasting; Time series analysis; Training;
fLanguage
English
Publisher
ieee
Conference_Titel
Neural Networks (IJCNN), The 2011 International Joint Conference on
Conference_Location
San Jose, CA
ISSN
2161-4393
Print_ISBN
978-1-4244-9635-8
Type
conf
DOI
10.1109/IJCNN.2011.6033368
Filename
6033368
Link To Document