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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| Ministère/Organisme | Bank of Canada. |
|---|---|
| Titre | The application of artificial neural networks to exchange rate forecasting : the role of market microstructure variables / by Nikola Gradojevic and Jing Yang. |
| Titre de la série | Working paper1192-5434100-23 |
| Type de publication | Série - Voir l'enregistrement principal |
| Langue | [Anglais] |
| Format | Papier |
| Autres formats offerts | Électronique-[Anglais] |
| 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 |
| Information sur la publication | Ottawa - Ontario : Bank of Canada 2000. |
| Reliure | Softcover |
| Description | v, 27p. : figs., graphs, tables ; 28 cm. |
| ISSN | 1192-5434 |
| Numéro de catalogue |
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| Descripteurs | Exchange rates Currency |
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