Chinese Currency Exchange Rates Forecasting with EMD-Based Neural Network
The Chinese currency, RMB, is developing as an international currency. Therefore, the effective strategy for trading RMB exchange rates would be attractive to international investors and policymakers. In this paper, we have constructed hybrid EMD-MLP models to forecast RMB exchange rates and develop...
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| Main Authors: | , , , |
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| Format: | Article |
| Language: | English |
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Wiley
2019-01-01
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| Series: | Complexity |
| Online Access: | http://dx.doi.org/10.1155/2019/7458961 |
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| _version_ | 1832553293015941120 |
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| author | Jying-Nan Wang Jiangze Du Chonghui Jiang Kin-Keung Lai |
| author_facet | Jying-Nan Wang Jiangze Du Chonghui Jiang Kin-Keung Lai |
| author_sort | Jying-Nan Wang |
| collection | DOAJ |
| description | The Chinese currency, RMB, is developing as an international currency. Therefore, the effective strategy for trading RMB exchange rates would be attractive to international investors and policymakers. In this paper, we have constructed hybrid EMD-MLP models to forecast RMB exchange rates and developed a trading strategy based on these models. Empirical results show that the proposed hybrid EMD-MLP∗ model always performs best based on both NMSE and Dstat criteria when the forecasting period is greater than five days. Moreover, we compare the models’ performance using different horizons and find that accuracy will increase with the growth of the forecasting horizons; however, the NMSE will become larger. Lastly, we adopt the best performing model to develop trading strategies with longer forecasting horizons when considering the number of profitable trading activities. If we consider a 0.3% transaction cost, the developed strategy will bring an annual return exceeding 10%, as well as enough trading opportunities. |
| format | Article |
| id | doaj-art-cde809429031481da8113d384a105bc7 |
| institution | Kabale University |
| issn | 1076-2787 1099-0526 |
| language | English |
| publishDate | 2019-01-01 |
| publisher | Wiley |
| record_format | Article |
| series | Complexity |
| spelling | doaj-art-cde809429031481da8113d384a105bc72025-02-03T05:54:28ZengWileyComplexity1076-27871099-05262019-01-01201910.1155/2019/74589617458961Chinese Currency Exchange Rates Forecasting with EMD-Based Neural NetworkJying-Nan Wang0Jiangze Du1Chonghui Jiang2Kin-Keung Lai3College of International Finance and Trade, Zhejiang Yuexiu University of Foreign Languages, Shaoxing, Zhejiang, ChinaSchool of Finance, Jiangxi University of Finance and Economics, Nanchang, ChinaSchool of Finance, Jiangxi University of Finance and Economics, Nanchang, ChinaDepartment of Industrial and Manufacturing Systems Engineering, The University of Hong Kong, Pok Fu Lam, Hong KongThe Chinese currency, RMB, is developing as an international currency. Therefore, the effective strategy for trading RMB exchange rates would be attractive to international investors and policymakers. In this paper, we have constructed hybrid EMD-MLP models to forecast RMB exchange rates and developed a trading strategy based on these models. Empirical results show that the proposed hybrid EMD-MLP∗ model always performs best based on both NMSE and Dstat criteria when the forecasting period is greater than five days. Moreover, we compare the models’ performance using different horizons and find that accuracy will increase with the growth of the forecasting horizons; however, the NMSE will become larger. Lastly, we adopt the best performing model to develop trading strategies with longer forecasting horizons when considering the number of profitable trading activities. If we consider a 0.3% transaction cost, the developed strategy will bring an annual return exceeding 10%, as well as enough trading opportunities.http://dx.doi.org/10.1155/2019/7458961 |
| spellingShingle | Jying-Nan Wang Jiangze Du Chonghui Jiang Kin-Keung Lai Chinese Currency Exchange Rates Forecasting with EMD-Based Neural Network Complexity |
| title | Chinese Currency Exchange Rates Forecasting with EMD-Based Neural Network |
| title_full | Chinese Currency Exchange Rates Forecasting with EMD-Based Neural Network |
| title_fullStr | Chinese Currency Exchange Rates Forecasting with EMD-Based Neural Network |
| title_full_unstemmed | Chinese Currency Exchange Rates Forecasting with EMD-Based Neural Network |
| title_short | Chinese Currency Exchange Rates Forecasting with EMD-Based Neural Network |
| title_sort | chinese currency exchange rates forecasting with emd based neural network |
| url | http://dx.doi.org/10.1155/2019/7458961 |
| work_keys_str_mv | AT jyingnanwang chinesecurrencyexchangeratesforecastingwithemdbasedneuralnetwork AT jiangzedu chinesecurrencyexchangeratesforecastingwithemdbasedneuralnetwork AT chonghuijiang chinesecurrencyexchangeratesforecastingwithemdbasedneuralnetwork AT kinkeunglai chinesecurrencyexchangeratesforecastingwithemdbasedneuralnetwork |