A Hybrid System of Joint Time-Frequency Filtering Methods and Neural Network Techniques for Foreign Exchange Rate Forecasting

Input filtering as one of preprocessing methods 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 handing 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 isssues, 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.
Publisher
Korea Intelligent Information Systems Society
Issue Date
1999
Keywords

R/S; Embedding Dimension; Signal Decomposition; Fourier Transform; Wavelet Transform; Recurrent Neural Networks

Citation

Journal of Intelligent Information Systems, Vol. 5, No. 1, 1999.6, pp. 103-123(21)

ISSN
1229-4152
URI
http://hdl.handle.net/10203/5120
Link
http://acms.kisti.re.kr/retrieve/index.jsp?soc=kiiss&lang=kor&pg=Detail
Link
http://www.kiiss.or.kr/
Appears in Collection
KGSF-Conference Papers(학술회의논문)
Files in This Item
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