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| 02412nam##2200361za#4500 |
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001 | 9.615455 |
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003 | CaOODSP |
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005 | 20211126112847 |
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007 | ta |
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008 | 150406|2000||||xxc||||| f|0| 0 eng|d |
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020 | |z0-662-29766-0 |
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022 | |a1192-5434 |
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040 | |aCaOODSP|beng |
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043 | |an-cn--- |
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086 | 1 |aFB3-2/100-23E |
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110 | 2 |aBank of Canada. |
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245 | 14|aThe application of artificial neural networks to exchange rate forecasting : |bthe role of market microstructure variables / |cby Nikola Gradojevic and Jing Yang. |
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260 | |aOttawa - Ontario : |bBank of Canada |c2000. |
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300 | |av, 27p. : |bfigs., graphs, tables ; |c28 cm. |
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490 | 1 |aWorking paper|x1192-5434|v100-23 |
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500 | |a"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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504 | |aBibliography. |
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520 | 3 |aArtificial 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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546 | |aRésumés en français |
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563 | |aSoftcover |
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590 | |a01-01|b2001-01-05 |
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690 | 07|aExchange rates|2gcpds |
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690 | 07|aCurrency|2gcpds |
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720 | 1 |aGradojevic, Nikola |
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720 | 1 |aYang, Jing |
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776 | 0#|tThe application of artificial neural networks to exchange rate forecasting : |w(CaOODSP)9.571563 |
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830 | #0|aWorking paper,|x1192-5434|v100-23|w(CaOODSP)9.514622 |
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