Forecasting Tala-AUD and Tala-USD Exchange Rates with ANN
The focus of this paper is to construct daily time series
exchange rate forecast models of Samoan Tala/USD and Tala/AUD
during the year 2008 to 2012 with neural network The performance
of the models was measured by using varies error functions such as
Root Square mean error (RSME), Mean absolute error (MAE), and
Mean absolute percentage error (MAPE). Our empirical findings
suggest that AR (1) model is an effective tool to forecast the
Tala/USD and Tala/AUD.
[1] Pacelli, V. 2012, "Forecasting Exchange Rates: a Comparative
Analysis", International Journal of Business and Social Science, vol. 3,
no. 10.
[2] Maniatis, P. 2012, "Forecasting the Exchange Rate between Euro and
USD: Probabilistic Approach versus ARIMA and Exponential
Smoothing Techniques", Journal of Applied Business Research, vol. 28,
no. 2, pp. 171-192.
[3] Rudra, P.P. & Kumar, R. 2010, "Forecasting Exchange Rate in India:
An Application of Artificial Neural Network Model", Journal of
Mathematics Research, vol. 2, no. 4, pp. 111-117.
[4] Pacelli V., Bevilacqua V., Azzollini M. (2011), "An Artificial Neural
Network Model to Forecast Exchange Rates", in Journal of Intelligent
Learning Systems and Applications, Vol. 3, n. 2/2011, pp. 57-69,
Scientific Research Publishing, Inc. USA;
[5] Kamruzzaman, J., and Sarker R.A. 2004, "ANN Based Forecasting of
Foreign Currency Exchange Rates", Neural Information Processing -
Letters and Reviews, Vol. 3, no. 2, pp.49-58.
[6] Huang, W., Lai K.K., Nakamori, Y., and Wang, S. 2004, "Forecasting
Foreign Exchange rates With Artificial Neural Network: A Review",
International Journal of Information Technology& Decision Making,
Vol. 3, no. 1, pp. 145-165.
[7] Panda, C, &Narasimhan, V 2003, "Forecasting daily foreign exchange
rate in India with Artificial Neural Network", Singapore Economic
Review, 48, 2, pp. 181-199.
[8] Andreou, A.S., Georgopoulos, E.F.,&Likothanassis, S.D., 2002,
"Exchange rate forecasting: A hybrid algorithm based on genetically
optimized adaptive neural network", Computational Economics, vol. 20,
no. 3, pp. 191-210.
[9] Dunis, C.L., &William, M., 2002, "Modeling and trading the euro/us
dollar exchange rate: Do neural network model perform better?"
Derivative Use, Trading & Regulation, vol. 8, no. 3, pp. 211-239.
[10] Steven, W. 2001, "An Empirical Analysis of data requirement for
financial forecasting with Neural Network Model", Journal of
Management Information system, vol. 17, no. 4, pp. 203-222.
[11] Ashok, K.N. &Mitra, A. 2002, "Forecasting daily foreign exchange
rates using genetically optimized neural networks", Journal of
Forecasting, vol. 21, no. 7, pp. 501-511.
[12] Wei-Pang Wu &Hui-Ling Yang 2007, "Forecasting New Taiwan
Dollar/United States Dollar Exchange Rate Using Neural Network",
The Business Review, Cambridge, vol. 7, no. 1, pp. 63-69.
[13] Kadilar, C. & , M. 2009, "Forecasting the Exchange rate series with
ANN: The case of Turkey", Intanbul U. Econ. Statist. J., vol. 9, no. 1, pp.
17-29.
[14] Azad, A. K., and Mahsin M. 2011, "Forecasting Exchange rates of
Bangladesh using ANN and ARIMA Model: A Comparative Study",
International Journal of Advanced Engineering Science and
Technologies, Vol. 10, no.1, pp.31-36.
[15] Chong Lee-Lee, Tan Hui-Boon, (2007) "Macroeconomic factors of
exchange rate volatility: Evidence from four neighboring ASEAN
economies", Studies in Economics and Finance Vol. 24 Iss: 4, pp.266 -
285.
[16] Gencay, R. (1999). "Linear, nonlinear and essential foreign exchange
prediction with simple technical trading rules". Journal of International
Economics, Vol.47, pp.91-107.
[17] Kiani, K. M., and Kastens, T. L., (2008) "Testing forecast accuracy of
foreign exchange rates: Predictions from feed forward and various
recurrent neural network architecture". Journal of Computational
Economics, Vol.32. Iss.2, pp.383-406.
[18] Boyd, D., Gugielmo, M.C. & Smith, R. 2001, "Real exchange rate
effects on the balance of trade: cointegration and the Marshall-Lerner
condition", International Journal of Finance & Economics, vol. 6, no. 3,
pp. 187-187.
[19] Malik, K. (2011). "Exchange Rate Forecasting and Model Selection in
Pakistan (2000-2010)", Journal of Business & Economics, 3, 1, pp. 77-
101.
[20] Anderson, T. W. and Darling. D. A. (1954). "A Test of Goodness of
Fit", Journal of the American Statistical Association, Vol. 49, No. 268,
pp. 765-769.
[21] Shapiro, S. S., and Wilk, M.B. (1965). "An analysis of variance for
normality (complete samples)". Biometrika , vol. 52, pp.591-611.
[1] Pacelli, V. 2012, "Forecasting Exchange Rates: a Comparative
Analysis", International Journal of Business and Social Science, vol. 3,
no. 10.
[2] Maniatis, P. 2012, "Forecasting the Exchange Rate between Euro and
USD: Probabilistic Approach versus ARIMA and Exponential
Smoothing Techniques", Journal of Applied Business Research, vol. 28,
no. 2, pp. 171-192.
[3] Rudra, P.P. & Kumar, R. 2010, "Forecasting Exchange Rate in India:
An Application of Artificial Neural Network Model", Journal of
Mathematics Research, vol. 2, no. 4, pp. 111-117.
[4] Pacelli V., Bevilacqua V., Azzollini M. (2011), "An Artificial Neural
Network Model to Forecast Exchange Rates", in Journal of Intelligent
Learning Systems and Applications, Vol. 3, n. 2/2011, pp. 57-69,
Scientific Research Publishing, Inc. USA;
[5] Kamruzzaman, J., and Sarker R.A. 2004, "ANN Based Forecasting of
Foreign Currency Exchange Rates", Neural Information Processing -
Letters and Reviews, Vol. 3, no. 2, pp.49-58.
[6] Huang, W., Lai K.K., Nakamori, Y., and Wang, S. 2004, "Forecasting
Foreign Exchange rates With Artificial Neural Network: A Review",
International Journal of Information Technology& Decision Making,
Vol. 3, no. 1, pp. 145-165.
[7] Panda, C, &Narasimhan, V 2003, "Forecasting daily foreign exchange
rate in India with Artificial Neural Network", Singapore Economic
Review, 48, 2, pp. 181-199.
[8] Andreou, A.S., Georgopoulos, E.F.,&Likothanassis, S.D., 2002,
"Exchange rate forecasting: A hybrid algorithm based on genetically
optimized adaptive neural network", Computational Economics, vol. 20,
no. 3, pp. 191-210.
[9] Dunis, C.L., &William, M., 2002, "Modeling and trading the euro/us
dollar exchange rate: Do neural network model perform better?"
Derivative Use, Trading & Regulation, vol. 8, no. 3, pp. 211-239.
[10] Steven, W. 2001, "An Empirical Analysis of data requirement for
financial forecasting with Neural Network Model", Journal of
Management Information system, vol. 17, no. 4, pp. 203-222.
[11] Ashok, K.N. &Mitra, A. 2002, "Forecasting daily foreign exchange
rates using genetically optimized neural networks", Journal of
Forecasting, vol. 21, no. 7, pp. 501-511.
[12] Wei-Pang Wu &Hui-Ling Yang 2007, "Forecasting New Taiwan
Dollar/United States Dollar Exchange Rate Using Neural Network",
The Business Review, Cambridge, vol. 7, no. 1, pp. 63-69.
[13] Kadilar, C. & , M. 2009, "Forecasting the Exchange rate series with
ANN: The case of Turkey", Intanbul U. Econ. Statist. J., vol. 9, no. 1, pp.
17-29.
[14] Azad, A. K., and Mahsin M. 2011, "Forecasting Exchange rates of
Bangladesh using ANN and ARIMA Model: A Comparative Study",
International Journal of Advanced Engineering Science and
Technologies, Vol. 10, no.1, pp.31-36.
[15] Chong Lee-Lee, Tan Hui-Boon, (2007) "Macroeconomic factors of
exchange rate volatility: Evidence from four neighboring ASEAN
economies", Studies in Economics and Finance Vol. 24 Iss: 4, pp.266 -
285.
[16] Gencay, R. (1999). "Linear, nonlinear and essential foreign exchange
prediction with simple technical trading rules". Journal of International
Economics, Vol.47, pp.91-107.
[17] Kiani, K. M., and Kastens, T. L., (2008) "Testing forecast accuracy of
foreign exchange rates: Predictions from feed forward and various
recurrent neural network architecture". Journal of Computational
Economics, Vol.32. Iss.2, pp.383-406.
[18] Boyd, D., Gugielmo, M.C. & Smith, R. 2001, "Real exchange rate
effects on the balance of trade: cointegration and the Marshall-Lerner
condition", International Journal of Finance & Economics, vol. 6, no. 3,
pp. 187-187.
[19] Malik, K. (2011). "Exchange Rate Forecasting and Model Selection in
Pakistan (2000-2010)", Journal of Business & Economics, 3, 1, pp. 77-
101.
[20] Anderson, T. W. and Darling. D. A. (1954). "A Test of Goodness of
Fit", Journal of the American Statistical Association, Vol. 49, No. 268,
pp. 765-769.
[21] Shapiro, S. S., and Wilk, M.B. (1965). "An analysis of variance for
normality (complete samples)". Biometrika , vol. 52, pp.591-611.
@article{"International Journal of Business, Human and Social Sciences:57301", author = "Shamsuddin Ahmed and M. G. M. Khan and Biman Prasad and Avlin Prasad", title = "Forecasting Tala-AUD and Tala-USD Exchange Rates with ANN", abstract = "The focus of this paper is to construct daily time series
exchange rate forecast models of Samoan Tala/USD and Tala/AUD
during the year 2008 to 2012 with neural network The performance
of the models was measured by using varies error functions such as
Root Square mean error (RSME), Mean absolute error (MAE), and
Mean absolute percentage error (MAPE). Our empirical findings
suggest that AR (1) model is an effective tool to forecast the
Tala/USD and Tala/AUD.", keywords = "Neural Network Forecasting Model, Autoregressive time series, Exchange rate, Tala/AUD, winters model.", volume = "7", number = "6", pages = "1631-9", }
