Forecasting Exchange Rate Using Neural Networks
Raksaseree, Sukhita (2009) Forecasting Exchange Rate Using Neural Networks. [Dissertation (University of Nottingham only)] (Unpublished)
The artificial neural network models become increasingly popular among researchers and investors since many studies have shown that it has superior performance over the traditional statistical model. This paper aims to investigate the neural network performance in forecasting foreign exchange rates based on backpropagation algorithm. The forecast of Thai Baht against seven currencies are conducted to observe the performance of the neural network models using the performance criteria for both in-sample and out-of-samples. Moreover, the effect of the number inputs unit and hidden units are examined.
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