政大機構典藏-National Chengchi University Institutional Repository(NCCUR):Item 140.119/112012

English | 正體中文 | 简体中文 | Post-Print筆數 : 27 | 全文筆數/總筆數 : 113451/144438 (79%)
造訪人次 : 51316875 線上人數 : 820

RC Version 6.0 © Powered By DSPACE, MIT. Enhanced by NTU Library IR team.

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

請使用永久網址來引用或連結此文件: https://nccur.lib.nccu.edu.tw/handle/140.119/112012

題名:	Two-stage model for exchange rate forecasting by emd and random forest
作者:	楊亨利 Lin, Han Chou Yang, Hengli
貢獻者:	資訊管理學系
關鍵詞:	Empirical mode decomposition;Exchange rate forecasting;Hilbert-Huang Transform;Intrinsic mode functions;Random forest
日期:	2014
上傳時間:	2017-08-17 15:09:59 (UTC+8)
摘要:	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.
關聯:	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
資料類型:	conference
顯示於類別:	[資訊管理學系] 會議論文

文件中的檔案:

檔案	描述	大小	格式	瀏覽次數
index.html		0Kb	HTML2	905	檢視/開啟

在政大典藏中所有的資料項目都受到原著作權保護.

社群 sharing

著作權政策宣告 Copyright Announcement

1.本網站之數位內容為國立政治大學所收錄之機構典藏，無償提供學術研究與公眾教育等公益性使用，惟仍請適度，合理使用本網站之內容，以尊重著作權人之權益。商業上之利用，則請先取得著作權人之授權。
The digital content of this website is part of National Chengchi University Institutional Repository. It provides free access to academic research and public education for non-commercial use. Please utilize it in a proper and reasonable manner and respect the rights of copyright owners. For commercial use, please obtain authorization from the copyright owner in advance.

2.本網站之製作，已盡力防止侵害著作權人之權益，如仍發現本網站之數位內容有侵害著作權人權益情事者，請權利人通知本網站維護人員(nccur@nccu.edu.tw)，維護人員將立即採取移除該數位著作等補救措施。
NCCU Institutional Repository is made to protect the interests of copyright owners. If you believe that any material on the website infringes copyright, please contact our staff(nccur@nccu.edu.tw). We will remove the work from the repository and investigate your claim.

資料載入中.....