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Exchange Rate Forecasting Using Entropy Optimized Multivariate Wavelet Denoising Model
المؤلفون المشاركون
Lai, Kin Keung
He, Kaijian
Wang, Lijun
Zou, Yingchao
المصدر
Mathematical Problems in Engineering
العدد
المجلد 2014، العدد 2014 (31 ديسمبر/كانون الأول 2014)، ص ص. 1-9، 9ص.
الناشر
Hindawi Publishing Corporation
تاريخ النشر
2014-04-17
دولة النشر
مصر
عدد الصفحات
9
التخصصات الرئيسية
الملخص EN
Exchange rate is one of the key variables in the international economics and international trade.
Its movement constitutes one of the most important dynamic systems, characterized by nonlinear behaviors.
It becomes more volatile and sensitive to increasingly diversified influencing factors with higher level of deregulation and global integration worldwide.
Facing the increasingly diversified and more integrated market environment, the forecasting model in the exchange markets needs to address the individual and interdependent heterogeneity.
In this paper, we propose the heterogeneous market hypothesis- (HMH-) based exchange rate modeling methodology to model the micromarket structure.
Then we further propose the entropy optimized wavelet-based forecasting algorithm under the proposed methodology to forecast the exchange rate movement.
The multivariate wavelet denoising algorithm is used to separate and extract the underlying data components with distinct features, which are modeled with multivariate time series models of different specifications and parameters.
The maximum entropy is introduced to select the best basis and model parameters to construct the most effective forecasting algorithm.
Empirical studies in both Chinese and European markets have been conducted to confirm the significant performance improvement when the proposed model is tested against the benchmark models.
نمط استشهاد جمعية علماء النفس الأمريكية (APA)
He, Kaijian& Wang, Lijun& Zou, Yingchao& Lai, Kin Keung. 2014. Exchange Rate Forecasting Using Entropy Optimized Multivariate Wavelet Denoising Model. Mathematical Problems in Engineering،Vol. 2014, no. 2014, pp.1-9.
https://search.emarefa.net/detail/BIM-468259
نمط استشهاد الجمعية الأمريكية للغات الحديثة (MLA)
He, Kaijian…[et al.]. Exchange Rate Forecasting Using Entropy Optimized Multivariate Wavelet Denoising Model. Mathematical Problems in Engineering No. 2014 (2014), pp.1-9.
https://search.emarefa.net/detail/BIM-468259
نمط استشهاد الجمعية الطبية الأمريكية (AMA)
He, Kaijian& Wang, Lijun& Zou, Yingchao& Lai, Kin Keung. Exchange Rate Forecasting Using Entropy Optimized Multivariate Wavelet Denoising Model. Mathematical Problems in Engineering. 2014. Vol. 2014, no. 2014, pp.1-9.
https://search.emarefa.net/detail/BIM-468259
نوع البيانات
مقالات
لغة النص
الإنجليزية
الملاحظات
Includes bibliographical references
رقم السجل
BIM-468259
قاعدة معامل التأثير والاستشهادات المرجعية العربي "ارسيف Arcif"
أضخم قاعدة بيانات عربية للاستشهادات المرجعية للمجلات العلمية المحكمة الصادرة في العالم العربي
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تقوم هذه الخدمة بالتحقق من التشابه أو الانتحال في الأبحاث والمقالات العلمية والأطروحات الجامعية والكتب والأبحاث باللغة العربية، وتحديد درجة التشابه أو أصالة الأعمال البحثية وحماية ملكيتها الفكرية. تعرف اكثر
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