DIGITAL LIBRARY ARCHIVE
HOME > DIGITAL LIBRARY ARCHIVE
< Previous   List   Next >  
A Hybrid System of Joint Time-Frequency Filtering Methods and Neural Network Techniques for Foreign Exchange Rate Forecasting
Full-text Download
Taeksoo Shin (Graduate School of Management, Korea Advanced Institute of Science and Technology)
Ingoo Han (Graduate School of Management, Korea Advanced Institute of Science and Technology)
Vol. 5, No. 1, Page: 103 ~ 123
Keywords
R/S, Embedding Dimension, Signal Decomposition, Wavelet Transform, Wavelet Transform, Recurrent Neural Networks
Abstract
Input filtering as a preprocessing method is so much crucial to get good performance in time series forecasting. There are a few preprocessing methods (i.e. ARMA outputs as time domain filters, and Fourier transform or wavelet transform as time-frequency domain filters) for handling time series. Specially, the time-frequency domain filters describe the fractal structure of financial markets better than the time domain filters due to theoretically additional frequency information. Therefore, we, first of all, try to describe and analyze specially some issues on the effectiveness of different filtering methods from viewpoint of the performance of a neural network based forecasting. And then we discuss about neural network model architecture issues, for example, what type of neural network learning architecture is selected for our time series forecasting, and what input size should be applied to a model. In this study an input selection problem is limited to a size selection of the lagged input variables. To solve this problem, we simulate on analyzing and comparing a few neural networks having different model architecture and also use an embedding dimension measure as chaotic time series analysis or nonlinear dynamic analysis to reduce the dimensionality (i.e. the size of time delayed input variables) of the models. Throughout our study, experiments for integration methods of joint time-frequency analysis and neural network techniques are applied to a case study of daily Korean won / U. S dollar exchange returns and finally we suggest an integration framework for future research from our experimental results.
Show/Hide Detailed Information in Korean
환율예측을 위한 신호처리분석 및 인공신경망기법의 통합시스템 구축
신택수 (KAIST 테크노경영대학원)
한인구 (KAIST 테크노경영대학원)
Cite this article
JIIS Style
Shin, T., and I. Han, " A Hybrid System of Joint Time-Frequency Filtering Methods and Neural Network Techniques for Foreign Exchange Rate Forecasting", Journal of Intelligence and Information Systems, Vol. 5, No. 1 (1999), 103~123.

IEEE Style
Taeksoo Shin, and Ingoo Han, " A Hybrid System of Joint Time-Frequency Filtering Methods and Neural Network Techniques for Foreign Exchange Rate Forecasting", Journal of Intelligence and Information Systems, vol. 5, no. 1, pp. 103~123, 1999.

ACM Style
Shin, T., and Han, I., 1999. A Hybrid System of Joint Time-Frequency Filtering Methods and Neural Network Techniques for Foreign Exchange Rate Forecasting. Journal of Intelligence and Information Systems. 5, 1, 103--123.
Export Formats : BiBTeX, EndNote

Warning: include(/home/hosting_users/ev_jiisonline/www/admin/archive/advancedSearch.php) [function.include]: failed to open stream: No such file or directory in /home/hosting_users/ev_jiisonline/www/archive/detail.php on line 429

Warning: include() [function.include]: Failed opening '/home/hosting_users/ev_jiisonline/www/admin/archive/advancedSearch.php' for inclusion (include_path='.:/usr/local/php/lib/php') in /home/hosting_users/ev_jiisonline/www/archive/detail.php on line 429
@article{Shin:JIIS:1999:75,
author = {Shin, Taeksoo and Han, Ingoo},
title = { A Hybrid System of Joint Time-Frequency Filtering Methods and Neural Network Techniques for Foreign Exchange Rate Forecasting},
journal = {Journal of Intelligence and Information Systems},
issue_date = {June 1999},
volume = {5},
number = {1},
month = Jun,
year = {1999},
issn = {2288-4866},
pages = {103--123},
url = {},
doi = {},
publisher = {Korea Intelligent Information System Society},
address = {Seoul, Republic of Korea},
keywords = { R/S, Embedding Dimension, Signal Decomposition, Wavelet Transform, Wavelet Transform and Recurrent Neural Networks },
}
%0 Journal Article
%1 75
%A Taeksoo Shin
%A Ingoo Han
%T A Hybrid System of Joint Time-Frequency Filtering Methods and Neural Network Techniques for Foreign Exchange Rate Forecasting
%J Journal of Intelligence and Information Systems
%@ 2288-4866
%V 5
%N 1
%P 103-123
%D 1999
%R
%I Korea Intelligent Information System Society