Title :
An intelligent forex monitoring system
Author :
Abraham, Ajith ; Chowdhury, Morshed U.
Author_Institution :
Sch. of Comput. & Inf. Technol., Monash Univ., Churchill, Vic., Australia
Abstract :
The need for intelligent monitoring systems has become a necessity to keep track of the complex forex market. The vast currency market is a foreign concept to the average individual. However, once it is broken down into simple terms, the average individual can begin to understand the foreign exchange market and use it as a financial instrument for future investing. We attempt to compare the performance of a Takagi-Sugeno, type neuro-fuzzy system and a feedforward neural network trained using the scaled conjugate gradient algorithm to predict the average monthly forex rates. We considered the exchange values of Australian dollar with respect to US dollar, Singapore dollar, New Zealand dollar, Japanese yen and United Kingdom pounds. The connectionist models were trained using 70% of the data and remaining was used for testing and validation purposes. It is observed that the proposed connectionist models were able to predict the average forex rates one month ahead accurately. Experiment results also reveal that the neuro-fuzzy technique performed better than the neural network
Keywords :
conjugate gradient methods; feedforward neural nets; financial data processing; foreign exchange trading; fuzzy neural nets; learning (artificial intelligence); performance evaluation; Australian dollar; Japanese yen; New Zealand dollar; Singapore dollar; Takagi-Sugeno neuro-fuzzy system; US dollar; United Kingdom pounds; connectionist models; currency market; experiment results; feedforward neural network; foreign exchange market; intelligent forex monitoring system; intelligent monitoring systems; performance; scaled conjugate gradient algorithm; Australia; Feedforward neural networks; Fuzzy neural networks; Instruments; Intelligent systems; Monitoring; Neural networks; Prediction algorithms; Takagi-Sugeno model; Testing;
Conference_Titel :
Info-tech and Info-net, 2001. Proceedings. ICII 2001 - Beijing. 2001 International Conferences on
Conference_Location :
Beijing
Print_ISBN :
0-7803-7010-4
DOI :
10.1109/ICII.2001.983110