Neural Network Based Forecasting of Foreign Currency Exchange Rates
Journal Title: International Journal on Computer Science and Engineering - Year 2014, Vol 6, Issue 6
Abstract
The foreign currency exchange market is the highest and most liquid of the financial markets, with an estimated $1 trillion traded every day. Foreign exchange rates are the most important economic indices in the international financial markets. The prediction of them poses many theoretical and experimental challenges. This paper reports empirical proof that a neural network model is applicable to the prediction of foreign exchange rates. The exchange rates between Indian Rupee and four other major currencies, Pound Sterling, US Dollar, Euro and Japanese Yen are forecast by the trained neural networks. The neural network was trained by three different learning algorithms using historical data to find the suitable algorithm for prediction. The forecasting performance of the proposed system is evaluated using three statistical metrics and compared. The results presented here demonstrate that significantly close prediction can be made without extensive knowledge of market data.
Authors and Affiliations
S. Kumar Chandar , Dr. M. Sumathi , Dr S. N. Sivanandam
Keywords
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