Exchange rates forecasting with least squares support vector machine

Proceedings - International Conference on Computer Science and Software Engineering, CSSE 2008

Volumn 5, Issue , 2008, Pages 1017-1019

  Lixia, Liu ^a   Wenjing, Wang ^a  

^a TIANJIN UNIVERSITY OF COMMERCE   (China)

Author keywords

Exchange rate; Forecast; Support vector machine; Time series

Indexed keywords

EXCHANGE RATES; FORECAST; FORECASTING MODELS; FOREIGN EXCHANGE MARKETS; GRID-SEARCH METHOD; LEAST SQUARES SUPPORT VECTOR MACHINES;

SOFTWARE ENGINEERING; SUPPORT VECTOR MACHINES; TIME SERIES; VECTORS;

FORECASTING;

EID: 79951474960     PISSN: None     EISSN: None     Source Type: Conference Proceeding    
DOI: 10.1109/CSSE.2008.140     Document Type: Conference Paper

References (7)

1. I. Huseyin, B.T. Theodore, "A hybrid model for exchange rate prediction", Decision Support Systems, Vol. 42, pp.1054-1062, November 2006.
2. F. R. Fernando, S. R. Simón, A.F. Julián, "Exchange-rate forecasts with simultaneous nearest-neighbour methods: evidence from the EMS", International Journal of Forecasting, Vol. 15, pp.383-392, October 1999.
3. Y. Lean, W. Shouyang, K.K. Lai, "A novel nonlinear ensemble forecasting model incorporating GLAR and ANN for foreign exchange rates", Computers & Operations Research, Vol. 32, pp.2523-2541, October 2005.
4. Yan-Qing Zhang, Xuhui Wan, "Statistical fuzzy interval neural networks for currency exchange rate time series prediction", Applied Soft Computing, Vol. 7, pp.1149-1156, August 2007.
5. V. N. Vapnik, "The Nature of Statistical Learning Theory", New York: Springer-Verlag, 1995.
6. J. K. Suykens,T. Gestel, "Least Squares Support Vector Machines", World Scientifics, Singapore, 2002.
7. J. K. Suykens, J. Brabanter, L. Lukas, J. Vandewalle, "Weighted least squares support vector machines: robustness and sparse approximation", Neurocomputing, Vol. 48, pp. 85-105, October 2002.