The application of artificial neural networks to exchange rate forecasting : the role of market microstructure variables / by Nikola Gradojevic and Jing Yang. : FB3-2/100-23E
Artificial neural networks (ANN) are employed for high-frequency Canada/U.S. dollar exchange rate forecasting.--Abstract This paper examines whether introducing a market microstructure variable (that is, order flow) into a set of daily observations of macroeconomic variables (interest rate, crude oil price) together with an ANN technique can explain Canada/U.S. dollar exchange rate movement better than linear and random walk models. Two statistics are used to compare models: root-mean squared error (RMSE) and the percentage of correctly predicted exchange rate changes (PERC).--Introduction
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| Department/Agency | Bank of Canada. |
|---|---|
| Title | The application of artificial neural networks to exchange rate forecasting : the role of market microstructure variables / by Nikola Gradojevic and Jing Yang. |
| Series title | Working paper1192-5434100-23 |
| Publication type | Series - View Master Record |
| Language | [English] |
| Format | Paper |
| Other formats | Electronic-[English] |
| Note(s) | "Artificial neural networks (ANN) are employed for high-frequency Canada/U.S. dollar exchange rate forecasting."--Abstract. "This paper examines whether introducing a market microstructure variable (that is, order flow) into a set of daily observations of macroeconomic variables (interest rate, crude oil price) together with an ANN technique can explain Canada/U.S. dollar exchange rate movement better than linear and random walk models. Two statistics are used to compare models: root-mean squared error (RMSE) and the percentage of correctly predicted exchange rate changes (PERC)."--Introduction. Bibliography. Résumés en français |
| Publishing information | Ottawa - Ontario : Bank of Canada 2000. |
| Binding | Softcover |
| Description | v, 27p. : figs., graphs, tables ; 28 cm. |
| ISSN | 1192-5434 |
| Catalogue number |
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| Subject terms | Exchange rates Currency |