Forecasting RMB Exchange Rate Based on a Nonlinear Combination Model of ARFIMA, SVM, and BPNN
Joint Authors
Wang, Gang-Jin
Mao, Zhou
Xie, Chi
Source
Mathematical Problems in Engineering
Issue
Vol. 2015, Issue 2015 (31 Dec. 2015), pp.1-10, 10 p.
Publisher
Hindawi Publishing Corporation
Publication Date
2015-07-16
Country of Publication
Egypt
No. of Pages
10
Main Subjects
Abstract EN
There are various models to predict financial time series like the RMB exchange rate.
In this paper, considering the complex characteristics of RMB exchange rate, we build a nonlinear combination model of the autoregressive fractionally integrated moving average (ARFIMA) model, the support vector machine (SVM) model, and the back-propagation neural network (BPNN) model to forecast the RMB exchange rate.
The basic idea of the nonlinear combination model (NCM) is to make the prediction more effective by combining different models’ advantages, and the weight of the combination model is determined by a nonlinear weighted mechanism.
The RMB exchange rate against US dollar (RMB/USD) and the RMB exchange rate against Euro (RMB/EUR) are used as the empirical examples to evaluate the performance of NCM.
The results show that the prediction performance of the nonlinear combination model is better than the single models and the linear combination models, and the nonlinear combination model is suitable for the prediction of the special time series, such as the RMB exchange rate.
American Psychological Association (APA)
Xie, Chi& Mao, Zhou& Wang, Gang-Jin. 2015. Forecasting RMB Exchange Rate Based on a Nonlinear Combination Model of ARFIMA, SVM, and BPNN. Mathematical Problems in Engineering،Vol. 2015, no. 2015, pp.1-10.
https://search.emarefa.net/detail/BIM-1074347
Modern Language Association (MLA)
Xie, Chi…[et al.]. Forecasting RMB Exchange Rate Based on a Nonlinear Combination Model of ARFIMA, SVM, and BPNN. Mathematical Problems in Engineering No. 2015 (2015), pp.1-10.
https://search.emarefa.net/detail/BIM-1074347
American Medical Association (AMA)
Xie, Chi& Mao, Zhou& Wang, Gang-Jin. Forecasting RMB Exchange Rate Based on a Nonlinear Combination Model of ARFIMA, SVM, and BPNN. Mathematical Problems in Engineering. 2015. Vol. 2015, no. 2015, pp.1-10.
https://search.emarefa.net/detail/BIM-1074347
Data Type
Journal Articles
Language
English
Notes
Includes bibliographical references
Record ID
BIM-1074347