Forecasting exchange rates using general regression neural networks (Q1579016)
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English | Forecasting exchange rates using general regression neural networks |
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Forecasting exchange rates using general regression neural networks (English)
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2000
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In this study, we examine the forecastability of a specific neural network architecture called general regression neural network (GRNN) and compare its performance with a variety of forecasting techniques, including multi-layered feedforward network (MLFN), multivariate transfer function, and random walk models. The comparison with MLFN provides a measure of GRNN's performance relative to the more conventional type of neural networks while the comparison with transfer function models examines the difference in predictive strength between the non-parametric and parametric techniques. The difficult to beat random walk model is used for benchmark comparison. Our findings show that GRNN not only has a higher degree of forecasting accuracy but also performs statistically better than other evaluated models for different currencies.
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General regression neural networks
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Currency exchange rate
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Forecasting
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