• 综合
  • 标题
  • 关键词
  • 摘要
  • 学者
  • 期刊-刊名
  • 期刊-ISSN
  • 会议名称
搜索

作者:

Fu, Sibao (Fu, Sibao.) | Li, Yongwu (Li, Yongwu.) | Sun, Shaolong (Sun, Shaolong.) | Li, Hongtao (Li, Hongtao.)

收录:

SSCI EI Scopus SCIE

摘要:

The volatility of exchange rate is very important to a country's trading. Accurately forecasting exchange rate time series appears to be a challenging task for the scientific community on account of its nonstationary and nonlinear structural nature. In order to improve the performance of exchange rate forecasting, this study develops two evolutionary support vector regression models to forecast four typical RMB exchange rates (CNY against USD, EUR, JPY and GBP), and employs four evaluation criteria to assess the performance of outof-sample exchange rate forecasting. In this study, the evolutionary algorithm optimizes the SVR parameters by balancing search between the global and local optima. However, the inputs of models are selected though phase space reconstruction method from historical data of exchange rate series. The empirical results demonstrate that our proposed evolutionary support vector regression outperforms all other benchmark models in terms of level forecasting accuracy, directional forecasting accuracy and statistical accuracy. As it turns out, our proposed evolutionary support vector regression is a promising approach for RMB exchange rate forecasting. (C) 2019 Elsevier B.V. All rights reserved.

关键词:

Evolutionary support vector regression Exchange rate forecasting Phase space reconstruction Genetic algorithm Particle swarm optimization

作者机构:

  • [ 1 ] [Fu, Sibao]Beijing Univ Posts & Telecommun, Sch Econ & Management, Beijing 100876, Peoples R China
  • [ 2 ] [Li, Yongwu]Beijing Univ Technol, Coll Econ & Management, Res Base Beijing Modern Mfg Dev, Beijing 100124, Peoples R China
  • [ 3 ] [Sun, Shaolong]Chinese Acad Sci, Acad Math & Syst Sci, Beijing 100190, Peoples R China
  • [ 4 ] [Sun, Shaolong]Univ Chinese Acad Sci, Sch Econ & Management, Beijing 100190, Peoples R China
  • [ 5 ] [Sun, Shaolong]City Univ Hong Kong, Sch Data Sci, Kowloon, Tat Chee Ave, Hong Kong, Peoples R China
  • [ 6 ] [Li, Hongtao]Lanzhou Jiaotong Univ, Sch Traff & Transportat, Lanzhou 730070, Gansu, Peoples R China

通讯作者信息:

  • [Li, Yongwu]Beijing Univ Technol, Coll Econ & Management, Res Base Beijing Modern Mfg Dev, Beijing 100124, Peoples R China

查看成果更多字段

相关关键词:

相关文章:

来源 :

PHYSICA A-STATISTICAL MECHANICS AND ITS APPLICATIONS

ISSN: 0378-4371

年份: 2019

卷: 521

页码: 692-704

3 . 3 0 0

JCR@2022

ESI学科: PHYSICS;

ESI高被引阀值:123

JCR分区:2

被引次数:

WoS核心集被引频次: 35

SCOPUS被引频次: 44

ESI高被引论文在榜: 0 展开所有

万方被引频次:

中文被引频次:

近30日浏览量: 6

归属院系:

在线人数/总访问数:115/3773500
地址:北京工业大学图书馆(北京市朝阳区平乐园100号 邮编:100124) 联系我们:010-67392185
版权所有:北京工业大学图书馆 站点建设与维护:北京爱琴海乐之技术有限公司