Foreign exchange rate forecasting using Levenberg-Marquardt learning algorithm

Title

Foreign exchange rate forecasting using Levenberg-Marquardt learning algorithm

Creator

Chandar S.K.; Sumathi M.; Sivanandam S.N.

Description

Background/Objectives: Foreign currency Exchange (FOREX) plays a vital role for currency trading in the international market. Accurate prediction of foreign currency exchange rate is a challenging task. The paper investigates the FOREX prediction using feed forward neural network. Methods/Statistical analysis: This paper employs artificial neural network to forecast foreign currency exchange rate in India during 2010-2015.The exchange rates considered between Indian Rupee and four major currencies Euro, Japanese Yen, Pound Sterling and US Dollar. The network developed consists of an input layer, hidden layer and output layer. The neural network was trained with Levenberg-Marquardt (LM) learning algorithm. Root Mean Square Error (RMSE), Mean Absolute Error (MAE) and Forecasting Error (FE) are used as indicators for the performance of the networks. Findings: Simulation results are presented to show the performance of the proposed system. The paper also aims to suggest about network topology that must be chosen in order to fit time series kind of complicated data to a neural network model. The proposed technique gives the evidence that there is possibility of extracting information hidden in the foreign exchange rate and predicting into the future. Applications/Improvements: Finally, this paper presents the best network topology for FOREX prediction by comparing the effectiveness of various hidden layer performance algorithm using MATLAB neural network software as a tool.

Source

Indian Journal of Science and Technology, Vol-9, No. 8

Date

2016-01-01

Publisher

Indian Society for Education and Environment

Subject

Exchange rate; Forecasting error; Mean absolute error; Network topology and levenberg - Marquardt learning algorithm

Coverage

Chandar S.K., Christ University, Bangalore, Karnataka, 560029, India; Sumathi M., Sri Meenakshi Government College for Arts for Women (Autonomous), Madurai, Tamil Nadu, 625002, India; Sivanandam S.N., Karpagam College of Engineering, Coimbatore, Tamil Nadu, 641032, India

Rights

All Open Access; Gold Open Access

Relation

ISSN: 9746846

Format

Online

Language

English

Type

Article

Identifier

https://doi.org/10.17485/ijst/2016/v9i8/87904

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