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Modeling and Prediction of Foreign Currency Exchange Markets
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Author(s): Joarder Kamruzzaman (Monash University, Australia), Ruhul A. Sarker (University of New South Wales, Australia)and Rezaul K. Begg (Victoria University, Australia)
Copyright: 2006
Pages: 13
Source title:
Artificial Neural Networks in Finance and Manufacturing
Source Author(s)/Editor(s): Joarder Kamruzzaman (Monash University, Australia), Rezaul Begg (Victoria University, Australia)and Ruhul Sarker (University of New South Wales, Australia)
DOI: 10.4018/978-1-59140-670-9.ch008
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Abstract
In today’s global market economy, currency exchange rates play a vital role in national economy of the trading nations. In this chapter, we present an overview of neural network-based forecasting models for foreign currency exchange (forex) rates. To demonstrate the suitability of neural network in forex forecasting, a case study on the forex rates of six different currencies against the Australian dollar is presented. We used three different learning algorithms in this case study, and a comparison based on several performance metrics and trading profitability is provided. Future research direction for enhancement of neural network models is also discussed.
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