Research output: Contribution in Book/Report/Proceedings - With ISBN/ISSN › Conference contribution/Paper › peer-review
Publication date | 1/12/2005 |
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Host publication | Proceedings of the IASTED International Conference on Computational Intelligence |
Pages | 456-461 |
Number of pages | 6 |
<mark>Original language</mark> | English |
Event | IASTED International Conference on Computational Intelligence - Calgary, AB, Canada Duration: 4/07/2005 → 6/07/2005 |
Conference | IASTED International Conference on Computational Intelligence |
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Country/Territory | Canada |
City | Calgary, AB |
Period | 4/07/05 → 6/07/05 |
Name | Proceedings of the IASTED International Conference on Computational Intelligence |
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Volume | 2005 |
Conference | IASTED International Conference on Computational Intelligence |
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Country/Territory | Canada |
City | Calgary, AB |
Period | 4/07/05 → 6/07/05 |
This paper presents a time series forecasting methodology and applies it to generate multiple-step-ahead predictions for the direction of change of the daily exchange rate of the Japanese Yen against the US Dollar. The proposed methodology draws from the disciplines of chaotic time series analysis, clustering, and artificial neural networks. In brief, clustering is applied to identify neighborhoods in the reconstructed state space of the system; and subsequently neural networks are trained to model the dynamics of each neighborhood separately. The results obtained through this approach are promising.