| 基于人工神经网络的汇率预报 |
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| 引用本文： | 魏巍贤,朱楚珠,蒋正华.基于人工神经网络的汇率预报[J].系统工程理论与实践,1996,16(6):13-20. |
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| 作者姓名： | 魏巍贤 朱楚珠 蒋正华 |
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| 作者单位： | 西安交通大学 |
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| 摘 要： | 本文将人工神经网络应用于汇率预报．应用从１９８７年５月至１９９２年１２月伦敦和纽约两大外汇市场马克对美元的市场即期汇率数据，建立前向组合神经网络预报模型．训练后的神经网络不仅能准确地拟会汇率的过去值，而且能较精确地预报汇率的未来趋势．计算结果表明：汇率的神经网络预报方法比统计预报方法优越．
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| 关 键 词： | 汇率 神经网络 其轭梯度 时间序列模型 训练 单步预报 多步预报 组合网络 预报 |
| 收稿时间： | 1995-03-30 |
Exchange Rates Forecasting Based on Artificial Neural Networks |
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| Wei Weixian, Zhu Chuzhu, Jiang Zhenghua.Exchange Rates Forecasting Based on Artificial Neural Networks[J].Systems Engineering —Theory & Practice,1996,16(6):13-20. |
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| Authors: | Wei Weixian Zhu Chuzhu Jiang Zhenghua |
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| Institution: | Xi’an Jiaotong University, 710049 |
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| Abstract: | This paper presents a neural networks approach to exchange rates analysis. Real observations of exchange rate (DM/$) in two exchange markets has been as a benchmark in our experiments. Feedforward combined networks have been designed to model exchange rates over the period from May 1987 to December 1992 weekly for the foreign exchange markets of London and New York. Remarkable success has been achieved in training the networks to learn the exchange rate curve for each of these markets and in making accurate predictions. Our results show that the neural network approach is a leading contender with the statistical modelling approachs. |
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| Keywords: | exchange rate neural networks conjugate gradient time series models training one-lag prediction multi-lag prediction combined modeling forecasting |
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