Neural fuzzy forecasting of the China Yuan to US dollar exchange rate - A swarm intelligence approach

Chunshien Li, Chuan Wei Lin, Hongming Huang

Research output: Chapter in Book/Report/Conference proceedingConference contributionpeer-review

4 Scopus citations

Abstract

Exchange rate fluctuation has a significant effect on the risk of marketing business, economic development and financial stability. Accurate prediction for exchange rate may reduce commercial and economic risk arisen by exchange rate fluctuation. In this study, we propose an intelligent approach to the forecasting problem of the CNY-USD exchange rate, where a neuro-fuzzy self-organizing system is used as the intelligent predictor. For learning purpose, a novel hybrid learning method is devised for the intelligent predictor, where the well-known particle swarm optimization (PSO) algorithm and the recursive least squares estimator (RLSE) algorithm are involved. The proposed learning method is called the PSO-RLSE-PSO method. Experiments for time series forecasting of the CNY-USD exchange rate are conducted. For performance, the intelligent predictor is trained by several different methods. The experimental results show that the proposed approach has excellent forecasting performance.

Original languageEnglish
Title of host publicationAdvances in Swarm Intelligence - Second International Conference, ICSI 2011, Proceedings
Pages616-625
Number of pages10
EditionPART 1
DOIs
StatePublished - 2011
Event2nd International Conference on Swarm Intelligence, ICSI 2011 - Chongqing, China
Duration: 12 Jun 201115 Jun 2011

Publication series

NameLecture Notes in Computer Science (including subseries Lecture Notes in Artificial Intelligence and Lecture Notes in Bioinformatics)
NumberPART 1
Volume6728 LNCS
ISSN (Print)0302-9743
ISSN (Electronic)1611-3349

Conference

Conference2nd International Conference on Swarm Intelligence, ICSI 2011
Country/TerritoryChina
CityChongqing
Period12/06/1115/06/11

Keywords

  • hybrid learning
  • neuro-fuzzy system (NFS)
  • particle swarm optimization (PSO)
  • recursive least-squares estimator (RLSE)
  • self-organization
  • time series forecasting

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