메뉴 건너뛰기




Volumn 38, Issue 3, 2009, Pages 863-891

Application of SVR with improved ant colony optimization algorithms in exchange rate forecasting

Author keywords

Continuous ant colony optimization algorithms (CACO); Exchange rates; Financial forecasting; Support vector regression (SVR)

Indexed keywords


EID: 77149138054     PISSN: 03248569     EISSN: None     Source Type: Journal    
DOI: None     Document Type: Article
Times cited : (51)

References (64)
  • 1
    • 0035425732 scopus 로고    scopus 로고
    • Estimating unsaturated soil hydraulic parameters using ant colony optimization
    • ABBASPOUR,K.C., SCHULIN, R. and VAN GENUCHTEN,M.T. (2001) Estimating unsaturated soil hydraulic parameters using ant colony optimization. Advances in Water Resources 24, 827-841.
    • (2001) Advances in Water Resources , vol.24 , pp. 827-841
    • Abbaspour, K.C.1    Schulin, R.2    Van Genuchten, M.T.3
  • 2
    • 0032786569 scopus 로고    scopus 로고
    • Improving support vector machine classifiers by modifying kernel functions
    • DOI 10.1016/S0893-6080(99)00032-5, PII S0893608099000325
    • AMARI, S. and Wu, S. (1999) Improving support vector machine classifiers by modifying kernel functions. Neural Networks 12, 783-789. (Pubitemid 29359218)
    • (1999) Neural Networks , vol.12 , Issue.6 , pp. 783-789
    • Amari, S.1    Wu, S.2
  • 3
    • 0000769864 scopus 로고    scopus 로고
    • Evolutionary optimization versus particle swarm optimization: Philosophy and performance differences
    • ANGELINĚ, P.J. (1998) Evolutionary optimization versus particle swarm optimization: philosophy and performance differences. Evolutionary Programming 6, 601-610.
    • (1998) Evolutionary Programming , vol.6 , pp. 601-610
    • Angelině, P.J.1
  • 4
    • 0033175487 scopus 로고    scopus 로고
    • SEMIFAR forecasts, with applications to foreign exchange rates
    • BERAN, J. and OCKER, D. (1999) SEMIFAR forecasts, with applications to foreign exchange rates. Journal of Statistical Planning and Inference 80, 137-153.
    • (1999) Journal of Statistical Planning and Inference , vol.80 , pp. 137-153
    • Beran, J.1    Ocker, D.2
  • 5
    • 84958981421 scopus 로고
    • The ant colony metaphor for searching continuous design spaces
    • BILCHEV, G. and PARMEE, I.C. (1995) The ant colony metaphor for searching continuous design spaces. Lecture Notes in Computer Sciences 993, 25-39.
    • (1995) Lecture Notes in Computer Sciences , vol.993 , pp. 25-39
    • Bilchev, G.1    Parmee, I.C.2
  • 7
    • 42449156579 scopus 로고
    • Generalized autoregressive conditional heteroskedasticity
    • BOLLERSLEV, T. (1986) Generalized autoregressive conditional heteroskedasticity. Journal of Econometrics 31, 307-327.
    • (1986) Journal of Econometrics , vol.31 , pp. 307-327
    • Bollerslev, T.1
  • 8
    • 0000537884 scopus 로고    scopus 로고
    • Linear and non-linear (non-)forecastability of high frequency exchange rates
    • BROOKS, C. (1997) Linear and non-linear (non-)forecastability of high frequency exchange rates. Journal of Forecasting 15, 125-145.
    • (1997) Journal of Forecasting , vol.15 , pp. 125-145
    • Brooks, C.1
  • 9
    • 0037381038 scopus 로고    scopus 로고
    • Support vector machines experts for time series forecasting
    • DOI 10.1016/S0925-2312(02)00577-5, PII S0925231202005775
    • CAO, L. (2003) Support vector machines experts for time series forecasting. Neurocomputing 51, 321-339. (Pubitemid 36367241)
    • (2003) Neurocomputing , vol.51 , pp. 321-339
    • Cao, L.1
  • 10
    • 0442297703 scopus 로고    scopus 로고
    • Regression neural network for error correction in foreign exchange forecasting and trading
    • CHEN, A.S. and LEUNG, M.T. (2004) Regression neural network for error correction in foreign exchange forecasting and trading. Computers and Operations Research 31, 1049-1068.
    • (2004) Computers and Operations Research , vol.31 , pp. 1049-1068
    • Chen, A.S.1    Leung, M.T.2
  • 11
    • 0037213043 scopus 로고    scopus 로고
    • Impact of momentum bias on forecasting through knowledge discovery techniques in the foreign exchange market
    • CHUN, S.H. and KlM, S.H. (2003) Impact of momentum bias on forecasting through knowledge discovery techniques in the foreign exchange market. Expert Systems with Applications 24, 115-122.
    • (2003) Expert Systems with Applications , vol.24 , pp. 115-122
    • Chun, S.H.1    Klm, S.H.2
  • 13
    • 34249753618 scopus 로고
    • Support vector networks
    • CORTES, C. and VAPNIK, V. (1995) Support vector networks. Machine Learning 20, 273-297.
    • (1995) Machine Learning , vol.20 , pp. 273-297
    • Cortes, C.1    Vapnik, V.2
  • 15
    • 33749866518 scopus 로고    scopus 로고
    • Predicting direction shifts on Canadian-US exchange rates with artificial neural networks
    • DAVIS, J.T., EPISCOPOS, A. and WETTIMUNY, S. (2001) Predicting direction shifts on Canadian-US exchange rates with artificial neural networks. Int. J. of Intelligent Systems in Accounting 10, 83-96.
    • (2001) Int. J. of Intelligent Systems in Accounting , vol.10 , pp. 83-96
    • Davis, J.T.1    Episcopos, A.2    Wettimuny, S.3
  • 19
    • 0031122887 scopus 로고    scopus 로고
    • Ant colony system: A cooperative learning approach to the traveling salesman problem
    • DORIGO,M. and GAMBARDELLA, L. (1997) Ant colony system: a cooperative learning approach to the traveling salesman problem. IEEE Transactions on Evolutionary Computation 1, 53-66.
    • (1997) IEEE Transactions on Evolutionary Computation , vol.1 , pp. 53-66
    • Dorigo, M.1    Gambardella, L.2
  • 21
    • 84974695665 scopus 로고    scopus 로고
    • A new ant colony algorithm using the hierarchical concept aimed at optimization of multiminima continuous functions
    • DREO, J. and SIARRY, P. (2002) A new ant colony algorithm using the hierarchical concept aimed at optimization of multiminima continuous functions. Lecture Notes in Computer Sciences 2463, 216-221.
    • (2002) Lecture Notes in Computer Sciences , vol.2463 , pp. 216-221
    • Dreo, J.1    Siarry, P.2
  • 22
    • 0000051984 scopus 로고
    • Autoregressive conditional heteroscedasticity with estimates of the variance of the United Kingdom inflation
    • ENGLE, R. F. (1982) Autoregressive conditional heteroscedasticity with estimates of the variance of the United Kingdom inflation. Econometrica 50, 987-1008.
    • (1982) Econometrica , vol.50 , pp. 987-1008
    • Engle, R.F.1
  • 23
    • 0038799301 scopus 로고    scopus 로고
    • Non-linearity and exchange rates
    • FERNANDES, M. (1998) Non-linearity and exchange rates. Journal of Forecasting 17, 497-514.
    • (1998) Journal of Forecasting , vol.17 , pp. 497-514
    • Fernandes, M.1
  • 24
    • 0000560787 scopus 로고    scopus 로고
    • Exchange rate forecasts with simultaneous nearest-neighbor methods: Evidence from the EMS
    • FERNANDEZ-RODRIGUEZ, F., SOSVILLA-RIVERO, S. and ANDRADA-FELIX, J. (1999) Exchange rate forecasts with simultaneous nearest-neighbor methods: evidence from the EMS. Int. J. of Forecasting 15, 383-392.
    • (1999) Int. J. of Forecasting , vol.15 , pp. 383-392
    • Fernandez-Rodriguez, F.1    Sosvilla-Rivero, S.2    Andrada-Felix, J.3
  • 25
    • 0343337355 scopus 로고    scopus 로고
    • Much ado about nothing? Exchange rate forecasting: Neural networks vs. linear models using monthly and weekly data
    • HANN, T.H. and STEURER, E. (1996) Much ado about nothing? Exchange rate forecasting: neural networks vs. linear models using monthly and weekly data. Neurocomputing 10, 323-339.
    • (1996) Neurocomputing , vol.10 , pp. 323-339
    • Hann, T.H.1    Steurer, E.2
  • 28
    • 33846428782 scopus 로고    scopus 로고
    • Potential assessment of the support vector regression technique in rainfall forecasting
    • DOI 10.1007/s11269-006-9026-2
    • HONG, W.C. and PAI, P.F. (2007) Potential assessment of the support vector regression technique in rainfall forecasting. Water Resources Management 21, 495-513. (Pubitemid 46140257)
    • (2007) Water Resources Management , vol.21 , Issue.2 , pp. 495-513
    • Hong, W.-C.1    Pai, P.-F.2
  • 29
    • 26844490984 scopus 로고    scopus 로고
    • Recurrent support vector machines with genetic algorithms in reliability prediction
    • HONG, W.C, PAI, P.F., CHEN, C.T. and CHANG, P.T. (2005) Recurrent support vector machines with genetic algorithms in reliability prediction. Lecture Notes in Computer Science 3610, 619-629.
    • (2005) Lecture Notes in Computer Science , vol.3610 , pp. 619-629
    • Hong, W.C.1    Pai, P.F.2    Chen, C.T.3    Chang, P.T.4
  • 30
    • 13544267510 scopus 로고    scopus 로고
    • Forecasting stock market movement direction with support vector machine
    • DOI 10.1016/j.cor.2004.03.016, PII S0305054804000681, Application of Neural Networks
    • HUANG, W., NAKAMORI, Y. and WANG, S.Y. (2005) Forecasting stock market movement direction with support vector machine. Computers & Operations Research 32, 2513-2522. (Pubitemid 40219758)
    • (2005) Computers and Operations Research , vol.32 , Issue.10 , pp. 2513-2522
    • Huang, W.1    Nakamori, Y.2    Wang, S.-Y.3
  • 31
    • 0037403617 scopus 로고    scopus 로고
    • Why is it so difficult to beat random walk forecast of exchange rates?
    • KlLlAN, L. and TAYLOR, M.P. (2003) Why is it so difficult to beat random walk forecast of exchange rates? Journal of International Economics 60, 85-107.
    • (2003) Journal of International Economics , vol.60 , pp. 85-107
    • Klllan, L.1    Taylor, M.P.2
  • 32
    • 0036027191 scopus 로고    scopus 로고
    • Forecasting financial time series using neural network and fuzzy system-based techniques
    • KODOGIANNIS, V. and LOLIS, A. (2002) Forecasting financial time series using neural network and fuzzy system-based techniques. Neural Computing and Applications 11, 90-102.
    • (2002) Neural Computing and Applications , vol.11 , pp. 90-102
    • Kodogiannis, V.1    Lolis, A.2
  • 33
    • 0034045699 scopus 로고    scopus 로고
    • Forecasting exchange rates using general regression neural networks
    • DOI 10.1016/S0305-0548(99)00144-6, PII S0305054899001446, Neural Networks in Business
    • LEUNG, M.T., CHEN, A.S. and DAOUK, H. (2000) Forecasting exchange rates using general regression neural networks. Computers & Operations Research 27, 1093-1110. (Pubitemid 30398140)
    • (2000) Computers and Operations Research , vol.27 , Issue.11-12 , pp. 1093-1110
    • Leung, M.T.1    Chen, A.-S.2    Daouk, H.3
  • 34
    • 0033096706 scopus 로고    scopus 로고
    • A comparison between neural networks and chaotic models for exchange rate prediction
    • LISI, F. and SCHIAVO, R.A. (1999) A comparison between neural networks and chaotic models for exchange rate prediction. Computational Statistics & Data Analysis 30, 87-102.
    • (1999) Computational Statistics & Data Analysis , vol.30 , pp. 87-102
    • Lisi, F.1    Schiavo, R.A.2
  • 35
    • 18444389480 scopus 로고    scopus 로고
    • Improved particle swarm optimization combined with chaos
    • Liu, B., WANG, L., JIN, Y.H., TANG, F. and HUANG, D.X. (2005) Improved particle swarm optimization combined with chaos. Chaos, Solitons & Fractals 25 (5), 1261-1271.
    • (2005) Chaos, Solitons & Fractals , vol.25 , Issue.5 , pp. 1261-1271
    • Liu, B.1    Wang, L.2    Jin, Y.H.3    Tang, F.4    Huang, D.X.5
  • 39
    • 0442296729 scopus 로고    scopus 로고
    • Support vector machines for wind speed prediction
    • DOI 10.1016/j.renene.2003.11.009
    • MOHANDES, M.A., HALAWANI.T.O., REHMAN,S. and HUSSAIN, A.A. (2004) Support vector machines for wind speed prediction. Renewable Energy 29, 939-947. (Pubitemid 38242182)
    • (2004) Renewable Energy , vol.29 , Issue.6 , pp. 939-947
    • Mohandes, M.A.1    Halawani, T.O.2    Rehman, S.3    Hussain, A.A.4
  • 41
    • 0036855813 scopus 로고    scopus 로고
    • Forecasting daily foreign exchange rates using genetically optimized neural networks
    • NAG, A.K. and MITRA, A. (2002) Forecasting daily foreign exchange rates using genetically optimized neural networks. Journal of Forecasting 21, 501-511
    • (2002) Journal of Forecasting , vol.21 , pp. 501-511
    • Nag, A.K.1    Mitra, A.2
  • 42
    • 18144394762 scopus 로고    scopus 로고
    • Forecasting regional electric load based on recurrent support vector machines with genetic algorithms
    • PAI, P.F. and HONG, W.C. (2005a) Forecasting regional electric load based on recurrent support vector machines with genetic algorithms. Electric Power Systems Research 74, 417-425.
    • (2005) Electric Power Systems Research , vol.74 , pp. 417-425
    • Pai, P.F.1    Hong, W.C.2
  • 43
    • 18544377981 scopus 로고    scopus 로고
    • Support vector machines with simulated annealing algorithms in electricity load forecasting
    • PAI, P.F. and HONG, W.C. (2005b) Support vector machines with simulated annealing algorithms in electricity load forecasting. Energy Conversion and Management 46, 2669-2688.
    • (2005) Energy Conversion and Management , vol.46 , pp. 2669-2688
    • Pai, P.F.1    Hong, W.C.2
  • 44
    • 33646130599 scopus 로고    scopus 로고
    • Software reliability forecasting by support vector machines with simulated annealing algorithms
    • PAI, P.F. and HONG, W.C. (2006) Software reliability forecasting by support vector machines with simulated annealing algorithms. Journal of Systems and Software 79, 747-755.
    • (2006) Journal of Systems and Software , vol.79 , pp. 747-755
    • Pai, P.F.1    Hong, W.C.2
  • 45
    • 20344388265 scopus 로고    scopus 로고
    • A hybrid ARIMA and support vector machines model in stock price forecasting
    • DOI 10.1016/j.omega.2004.07.024, PII S0305048304001082
    • PAI, P.F. and LIN, C.S. (2005a) A hybrid ARIMA and support vector machines model in stock price forecasting. Omega 33, 497-505. (Pubitemid 40792485)
    • (2005) Omega , vol.33 , Issue.6 , pp. 497-505
    • Pai, P.-F.1    Lin, C.-S.2
  • 46
    • 27944432882 scopus 로고    scopus 로고
    • Using support vector machines to forecast the production values of the machinery industry in Taiwan
    • PAI, P.F. and LlN, C.S. (2005b) Using support vector machines to forecast the production values of the machinery industry in Taiwan. The Int. J. of Advanced Manufacturing Technology 27, 205-210.
    • (2005) The Int. J. of Advanced Manufacturing Technology , vol.27 , pp. 205-210
    • Pai, P.F.1    Lln, C.S.2
  • 48
    • 0036670786 scopus 로고    scopus 로고
    • Data mining with an ant colony optimization algorithm
    • DOI 10.1109/TEVC.2002.802452, PII 1011092002802452
    • PARPINELLI, R.S., LOPES, H.S. and FREITAS, A.A. (2002) Data mining with an ant colony optimization algorithm. IEEE Transactions on Evolutionary Computation 6 321-332. (Pubitemid 35032734)
    • (2002) IEEE Transactions on Evolutionary Computation , vol.6 , Issue.4 , pp. 321-332
    • Parpinelli, R.S.1    Lopes, H.S.2    Freitas, A.A.3
  • 49
    • 0042342715 scopus 로고    scopus 로고
    • Nonlinear prediction of exchange rates with mon-etary fundamentals
    • Ql, M. and Wu, Y. (2003) Nonlinear prediction of exchange rates with mon-etary fundamentals. Journal of Empirical Finance 10, 623-640.
    • (2003) Journal of Empirical Finance , vol.10 , pp. 623-640
    • Ql, M.1    Wu, Y.2
  • 52
    • 34848884200 scopus 로고    scopus 로고
    • Ant colony optimization for continuous domains
    • doi:10.1016/j.ejor.2006.06.046
    • SOCHA, K. and DORIGO, M. (2006) Ant colony optimization for continuous domains. EJOR, doi:10.1016/j.ejor.2006.06.046.
    • (2006) EJOR
    • Socha, K.1    Dorigo, M.2
  • 54
    • 0001023715 scopus 로고    scopus 로고
    • Application of support vector machines in financial time series forecasting
    • DOI 10.1016/S0305-0483(01)00026-3, PII S0305048301000263
    • TAY, F.E.H. and CAO, L. (2001) Application of support vector machines in financial time series forecasting. Omega 29, 309-317. (Pubitemid 33628757)
    • (2001) Omega , vol.29 , Issue.4 , pp. 309-317
    • Tay, F.E.H.1    Cao, L.2
  • 55
    • 0036825901 scopus 로고    scopus 로고
    • Modified support vector machines in financial time series forecasting
    • DOI 10.1016/S0925-2312(01)00676-2, PII S0925231201006762
    • TAY, F.E.H. and CAO, L. (2002) Modified support vector machines in financial time series forecasting. Neurocomputing 48, 847-861. (Pubitemid 36221530)
    • (2002) Neurocomputing , vol.48 , pp. 847-861
    • Tay, F.E.H.1    Cao, L.J.2
  • 56
    • 0036540201 scopus 로고    scopus 로고
    • Forecasting exchange rates using cointegration models and intra-day data
    • DOI 10.1002/for.822
    • TRAPLETTI, A., GEYER, A. and LEISCH, F. (2002) Forecasting exchange rates using cointegration models and intra-day data. Journal of Forecasting 21, 151-166. (Pubitemid 34497862)
    • (2002) Journal of Forecasting , vol.21 , Issue.3 , pp. 151-166
    • Trapletti, A.1    Geyer, A.2    Leisch, F.3
  • 59
    • 0036000746 scopus 로고    scopus 로고
    • Forecasting exchange rate volatility
    • VlLASUSO, J. (2002) Forecasting exchange rate volatility. Economic Letters 76, 59-64.
    • (2002) Economic Letters , vol.76 , pp. 59-64
    • Vllasuso, J.1
  • 61
    • 0031508899 scopus 로고    scopus 로고
    • Cooperative distributed search: The ants' way
    • Evolutionary Computation
    • WODRICH, M. and BILCHEV, G. (1997) Cooperative distributed search: the ant's way. Control and Cybernetics 26, 413-446. (Pubitemid 127156691)
    • (1997) Control and Cybernetics , vol.26 , Issue.3 , pp. 413-446
    • Wodrich, M.1    Bilchev, G.2
  • 62
    • 0003173238 scopus 로고
    • Model-free forecasting for nonlinear time series (with application to exchange rates)
    • Wu, B. (1995) Model-free forecasting for nonlinear time series (with application to exchange rates). Computational Statistics & Data Analysis 19, 433-459.
    • (1995) Computational Statistics & Data Analysis , vol.19 , pp. 433-459
    • Wu, B.1
  • 63
    • 0034283989 scopus 로고    scopus 로고
    • A case study on using neural networks to perform technical forecasting of forex
    • YAO, J. and TAN, C.L. (2000) A case study on using neural networks to perform technical forecasting of forex. Neurocomputing 34, 79-98.
    • (2000) Neurocomputing , vol.34 , pp. 79-98
    • Yao, J.1    Tan, C.L.2
  • 64
    • 0032133950 scopus 로고    scopus 로고
    • Neural network forecasting of the British Pound/US Dollar Exchange Rate
    • ZHANG, G. and Hu, M.Y. (1998) Neural network forecasting of the British Pound/US Dollar Exchange Rate. Omega 26, 495-506.
    • (1998) Omega , vol.26 , pp. 495-506
    • Zhang, G.1    Hu, M.Y.2


* 이 정보는 Elsevier사의 SCOPUS DB에서 KISTI가 분석하여 추출한 것입니다.