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Predicting Exchange Rates with Modified Elman Network
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Beum-Jo Park (Department of Economics, Dankook University)
Vol. 3, No. 1, Page: 47 ~ 68
Keywords
Predictions of Daily Exchange Rate Returns, Nonlinearity, BDS statistic, Artificial Neural Networks, Backpropagation
Abstract
This paper discusses a method of modified Elman network(1990) for nonlinear predictions and its a, pp.ication to forecasting daily exchange rate returns. The method consists of two stages that take advantages of both time domain filter and modified feedback networks. The first stage straightforwardly employs the filtering technique to remove extreme noise. In the second stage neural networks are designed to take the feedback from both hidden-layer units and the deviation of outputs from target values during learning. This combined feedback can be exploited to transfer unconsidered information on errors into the network system and, consequently, would improve predictions. The method a, pp.ars to dominate linear ARMA models and standard dynamic neural networks in one-step-ahead forecasting exchange rate returns.
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수정된 엘만신경망을 이용한 외환 예측
박범조 (단국대학교 경제학과)
Cite this article
JIIS Style
Park, B.-J., , "Predicting Exchange Rates with Modified Elman Network", Journal of Intelligence and Information Systems, Vol. 3, No. 1 (1997), 47~68.

IEEE Style
Beum-Jo Park, "Predicting Exchange Rates with Modified Elman Network", Journal of Intelligence and Information Systems, vol. 3, no. 1, pp. 47~68, 1997.

ACM Style
Park, B.-J.,, 1997. Predicting Exchange Rates with Modified Elman Network. Journal of Intelligence and Information Systems. 3, 1, 47--68.
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@article{Park:JIIS:1997:35,
author = {Park, Beum-Jo},
title = {Predicting Exchange Rates with Modified Elman Network},
journal = {Journal of Intelligence and Information Systems},
issue_date = {June 1997},
volume = {3},
number = {1},
month = Jun,
year = {1997},
issn = {2288-4866},
pages = {47--68},
url = {},
doi = {},
publisher = {Korea Intelligent Information System Society},
address = {Seoul, Republic of Korea},
keywords = { Predictions of Daily Exchange Rate Returns, Nonlinearity, BDS statistic, Artificial Neural Networks and Backpropagation },
}
%0 Journal Article
%1 35
%A Beum-Jo Park
%T Predicting Exchange Rates with Modified Elman Network
%J Journal of Intelligence and Information Systems
%@ 2288-4866
%V 3
%N 1
%P 47-68
%D 1997
%R
%I Korea Intelligent Information System Society