IJPAM: Volume 107, No. 1 (2016)

EURO EXCHANGE RATE FORECASTING WITH
DIFFERENTIAL NEURAL NETWORKS WITH
AN EXTENDED TRACKING PROCEDURE

Francisco Ortiz-Arango$^1$, Agustín I. Cabrera-Llanos$^2$,
Francisco Venegas-Martínez$^3$
$^1$Escuela de Ciencias Económicas y Empresariales of the Universidad Panamericana
Calle Augusto Rodin 498, Benito Juárez, Insurgentes Mixcoac, C.P.03920
México City, MÉXICO
$^2$Unidad Profesional Interdisciplinaria de Biotecnología of the Instituto Politécnico Nacional
Av. Acueducto de Guadalupe S/N, Gustavo A Madero, Barrio La Laguna Ticoman, C.P.07340
México City, MÉXICO
$^3$Escuela Superior de Economía of the Instituto Politécnico Nacional
Plan de Agua Prieta 66, Delegación Miguel Hidalgo, Colonia Plutarco Elás Calles, C.P.11350
México City, MÉXICO


Abstract. This paper develops a new kind of non-parametrical artificial neural network useful to forecast exchange rates. We departure from the Differential Neural Networks (DNN) framework and extend the tracking procedure. Under this approach, we examine daily closing exchange rates of Euro against US dollar, Japanese yen and British pound. With our proposal, extended DNN or EDNN, we perform the tracking procedure from February 15, 1999, to August 31, 2013, and, subsequently, the forecasting procedure from September 2 to September 13, 2013. The accuracy of the obtained results is remarkable, since the error percentage in the forecasting period varies from 0.001.

Received: December 31, 2015

AMS Subject Classification: 92B20, 82C32, 68T05

Key Words and Phrases: exchange rates, artificial neural network, differential neural network, tracking and forecasting

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DOI: 10.12732/ijpam.v107i1.8 How to cite this paper?

Source:
International Journal of Pure and Applied Mathematics
ISSN printed version: 1311-8080
ISSN on-line version: 1314-3395
Year: 2016
Volume: 107
Issue: 1
Pages: 87 - 110


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