中国科学院机构知识库网格
Chinese Academy of Sciences Institutional Repositories Grid
首页 机构 成果 学者
  
  1. CAS IR Grid
  2. 数学与系统科学研究院
  3. 中国科学院数学与系统科学研究院
  4. 系统科学研究所
A new multiscale decomposition ensemble approach for forecasting exchange rates

文献类型：期刊论文

作者Sun, Shaolong1,2,3; Wang, Shouyang1,2,3; Wei, Yunjie1,3
刊名ECONOMIC MODELLING
出版日期2019-09-01
卷号81页码:49-58
关键词Exchange rates forecasting Variational mode decomposition Support vector regression Support vector neural network Ensemble learning
ISSN号0264-9993
DOI10.1016/j.econmod.2018.12.013
英文摘要Due to the high complexity and strong nonlinearity nature of foreign exchange rates, how to forecast foreign exchange rate accurately is regarded as a challenging research topic. Therefore, developing highly accurate forecasting method is of great significance to investors and policy makers. A new multiscale decomposition ensemble approach to forecast foreign exchange rates is proposed in this paper. In the approach, the variational mode decomposition (VMD) method is utilized to divide foreign exchange rates into a finite number of subcomponents; the support vector neural network (SVNN) technique is used to model and forecast each subcomponent respectively; another SVNN technique is utilized to integrate the forecasting results of each subcomponent to generate the final forecast results. To verify the superiority of the proposed approach, four major exchange rates were chosen for model comparison and evaluation. The experimental results indicate that our proposed VMD-SVNN-SVNN multiscale decomposition ensemble approach outperforms some other benchmarks in terms of forecasting accuracy and statistical tests. This demonstrates that our proposed VMD-SVNN-SVNN multiscale decomposition ensemble approach is promising for forecasting foreign exchange rates.
资助项目National Natural Science Foundation of China[71801213] ; National Natural Science Foundation of China[71642006]
WOS研究方向Business & Economics
语种英语
WOS记录号WOS:000487568500005
出版者ELSEVIER
源URL[http://ir.amss.ac.cn/handle/2S8OKBNM/35708]  
专题系统科学研究所
通讯作者Wei, Yunjie
作者单位1.Chinese Acad Sci, Acad Math & Syst Sci, Zhongguancun East Rd 55, Beijing 100190, Peoples R China
2.Univ Chinese Acad Sci, Sch Econ & Management, Beijing 100190, Peoples R China
3.Chinese Acad Sci, Ctr Forecasting Sci, Beijing 100190, Peoples R China
推荐引用方式
GB/T 7714		 Sun, Shaolong,Wang, Shouyang,Wei, Yunjie. A new multiscale decomposition ensemble approach for forecasting exchange rates[J]. ECONOMIC MODELLING,2019,81:49-58.
APA Sun, Shaolong,Wang, Shouyang,&Wei, Yunjie.(2019).A new multiscale decomposition ensemble approach for forecasting exchange rates.ECONOMIC MODELLING,81,49-58.
MLA Sun, Shaolong,et al."A new multiscale decomposition ensemble approach for forecasting exchange rates".ECONOMIC MODELLING 81(2019):49-58.

入库方式： OAI收割

来源：数学与系统科学研究院

浏览0
下载0
收藏0
其他版本

除非特别说明，本系统中所有内容都受版权保护，并保留所有权利。