Exchange rate prediction with non-numerical information
文献类型：期刊论文
| 作者 | Wang, Zhi-Bin1; Hao, Hong-Wei1 ; Yin, Xu-Cheng1; Liu, Qian1; Huang, Kaizhu2
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| 刊名 | NEURAL COMPUTING & APPLICATIONS
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| 出版日期 | 2011-10-01 |
| 卷号 | 20期号:7页码:945-954 |
| 关键词 | Exchange rate prediction Non-numerical information quantification Support vector regression Predictor combination |
| 英文摘要 | Exchange rate prediction is an important yet challenging problem in financial time series analysis. Although the historical exchange rates can provide valuable information, other factors will also affect the prediction significantly. These factors could be numerical or non-numerical ones, which are related to politics, economics, military, or even market psychology. Previous automatic exchange rate prediction merely considers numerical data (or simply the historical rates) for predicting the next day value. In this paper, we show how to utilize and combine many related factors, both numerical and non-numerical factors, for exchange rate prediction. With an example on forecasting exchange rate between US dollar and Japanese yen, we investigate how to exploit the information from non-numerical factors. We then engage a novel integrated approach which successfully combines information obtained from both numerical and non-numerical factors. We show how to quantify the non-numerical fundamental information, provide details steps on how to construct single predictors on different kinds of information separately, and finally describe how to integrate these separate predictors. Experimental results showed that our method can achieve the Directional Symmetry (DS) accuracy of 86.96%, which is much higher than only exploiting numerical information. |
| WOS标题词 | Science & Technology ; Technology |
| 类目[WOS] | Computer Science, Artificial Intelligence |
| 研究领域[WOS] | Computer Science |
| 关键词[WOS] | SUPPORT VECTOR REGRESSION ; TIME-SERIES PREDICTION ; NEURAL-NETWORKS ; MACHINE ; COMBINATION ; CLASSIFIERS |
| 收录类别 | SCI |
| 语种 | 英语 |
| WOS记录号 | WOS:000294910400004 |
| 源URL | [http://ir.ia.ac.cn/handle/173211/3061]  |
| 专题 | 自动化研究所_模式识别国家重点实验室_模式分析与学习团队 |
| 作者单位 | 1.Univ Sci & Technol Beijing, Dept Comp Sci, Sch Informat Engn, Beijing 100083, Peoples R China 2.Chinese Acad Sci, Inst Automat, Beijing 100190, Peoples R China |
| 推荐引用方式 GB/T 7714 | Wang, Zhi-Bin,Hao, Hong-Wei,Yin, Xu-Cheng,et al. Exchange rate prediction with non-numerical information[J]. NEURAL COMPUTING & APPLICATIONS,2011,20(7):945-954. |
| APA | Wang, Zhi-Bin,Hao, Hong-Wei,Yin, Xu-Cheng,Liu, Qian,&Huang, Kaizhu.(2011).Exchange rate prediction with non-numerical information.NEURAL COMPUTING & APPLICATIONS,20(7),945-954. |
| MLA | Wang, Zhi-Bin,et al."Exchange rate prediction with non-numerical information".NEURAL COMPUTING & APPLICATIONS 20.7(2011):945-954. |
入库方式： OAI收割
来源：自动化研究所
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