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政大機構典藏 > 商學院 > 資訊管理學系 > 會議論文 > Item 140.119/112012

Please use this identifier to cite or link to this item: https://nccur.lib.nccu.edu.tw/handle/140.119/112012

Title:	Two-stage model for exchange rate forecasting by emd and random forest
Authors:	楊亨利 Lin, Han Chou Yang, Hengli
Contributors:	資訊管理學系
Keywords:	Empirical mode decomposition;Exchange rate forecasting;Hilbert-Huang Transform;Intrinsic mode functions;Random forest
Date:	2014
Issue Date:	2017-08-17 15:09:59 (UTC+8)
Abstract:	This study applied random forest (RF) and empirical mode decomposition (EMD) techniques to exchange rate forecasting. The aim of this study is to examine the feasibility of the proposed EMD-RF model in exchange rate forecasting. For this purpose, the original exchange rate series were first decomposed into a finite, and often small, number of intrinsic mode functions (IMFs) and one residual component. Then, a random forest model is constructed to forecast these IMFs and residual value individually, and then all these forecasted values are aggregated to produce the final forecasted value for exchange rates. The daily USD/NTD, USD/JPY, USD/HKD and USD/AUD exchange rates were employed as the data set. The experimental results are that MAPE for the four data sets are, respectively, 0.278%, 1.143%, 0.153% and 5.944%, which shows good performance according to the 10% threshold suggested by Lewis.
Relation:	Proceedings of the International Conference on Electronic Business (ICEB),2014-January276-279 14th International Conference on Electronic Business, ICEB 2014 and 1st Global Conference on Internet and Information Systems, GCIIS 2014; Imperial Hotel TaipeiTaipei; Taiwan; 8 December 2014 到 12 December 2014; 代碼 118796
Data Type:	conference
Appears in Collections:	[資訊管理學系] 會議論文

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