A Clustering-Based Nonlinear Ensemble Approach for Exchange Rates Forecasting
文献类型：期刊论文
| 作者 | Sun, Shaolong1,2,3; Wang, Shouyang1,2,4; Wei, Yunjie1,4,5; Zhang, Guowei1,2 |
| 刊名 | IEEE TRANSACTIONS ON SYSTEMS MAN CYBERNETICS-SYSTEMS
 |
| 出版日期 | 2020-06-01 |
| 卷号 | 50期号:6页码:2284-2292 |
| 关键词 | Forecasting Exchange rates Predictive models Self-organizing feature maps Clustering algorithms exchange rates forecasting kernel-based extreme learning machine (KELM) nonlinear ensemble |
| ISSN号 | 2168-2216 |
| DOI | 10.1109/TSMC.2018.2799869 |
| 英文摘要 | A clustering-based nonlinear ensemble (CNE) learning approach is proposed in this paper to forecast exchange rates. In the proposed CNE learning approach: 1) a self-organizing map neural network is introduced to cluster the in-sample component forecasts; 2) kernel-based extreme learning machine is employed to calculate the in-sample ensemble weights for each cluster; and 3) the corresponding clusters' in-sample ensemble weights are used for out-of-sample component forecasts to obtain the ensemble forecasts. To illustrate and verify the effectiveness of our proposed model, we test its directional and level forecasting accuracy using four major exchange rates. The out-of-sample forecasting performance results show that the proposed CNE learning approach consistently outperforms the component models and other ensemble learning approaches in terms of the directional forecasting accuracy and the level forecasting accuracy. |
| 资助项目 | National Natural Science Foundation of China[71373262] |
| WOS研究方向 | Automation & Control Systems ; Computer Science |
| 语种 | 英语 |
| WOS记录号 | WOS:000536768200028 |
| 出版者 | IEEE-INST ELECTRICAL ELECTRONICS ENGINEERS INC |
| 源URL | [http://ir.amss.ac.cn/handle/2S8OKBNM/51491]  |
| 专题 | 中国科学院数学与系统科学研究院 |
| 通讯作者 | Wei, Yunjie |
| 作者单位 | 1.Chinese Acad Sci, Acad Math & Syst Sci, Beijing 100190, Peoples R China 2.Univ Chinese Acad Sci, Sch Econ & Management, Beijing 100190, Peoples R China 3.City Univ Hong Kong, Dept Syst Engn & Engn Management, Hong Kong, Peoples R China 4.Chinese Acad Sci, Ctr Forecasting Sci, Beijing 100190, Peoples R China 5.City Univ Hong Kong, Dept Management Sci, Hong Kong, Peoples R China |
| 推荐引用方式 GB/T 7714 | Sun, Shaolong,Wang, Shouyang,Wei, Yunjie,et al. A Clustering-Based Nonlinear Ensemble Approach for Exchange Rates Forecasting[J]. IEEE TRANSACTIONS ON SYSTEMS MAN CYBERNETICS-SYSTEMS,2020,50(6):2284-2292. |
| APA | Sun, Shaolong,Wang, Shouyang,Wei, Yunjie,&Zhang, Guowei.(2020).A Clustering-Based Nonlinear Ensemble Approach for Exchange Rates Forecasting.IEEE TRANSACTIONS ON SYSTEMS MAN CYBERNETICS-SYSTEMS,50(6),2284-2292. |
| MLA | Sun, Shaolong,et al."A Clustering-Based Nonlinear Ensemble Approach for Exchange Rates Forecasting".IEEE TRANSACTIONS ON SYSTEMS MAN CYBERNETICS-SYSTEMS 50.6(2020):2284-2292. |
入库方式： OAI收割
来源：数学与系统科学研究院
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