Forecasting exchange rates using feedforward and recurrent neural networks

40 Pages·1993·1.3 MB·English

by  Kuan, Chung-Ming

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ILLINOIS LIBRARY
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http://www.archive.org/details/forecastingexcha93137kuan

Faculty Working Paper 93-0137
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330 s-r-^<
B385
1993:137 COPY 2
Forecasting Exchange Rates Using Feedforward
and Recurrent Neural Networks Revised
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Chung-Ming Kuan Tung Liu
Department ofEconomics Department ofEconomics
University ofIllinois BallState University
Bureau of Economic and Business Research
College ofConmnerce and Business Administraiion
University of Illinois at Urbana-Champaign

BEBR
FACULTY WORKING PAPER NO. 93-0137
College of Commerce and Business Administration
f University of Illinois at Grbana-Champaign
May 1993
Forecasting Exchange Rates Using Feedforward
and Recurrent Neural Networks - Revised
Chung-Ming Kuan
Tung Liu

FORECASTING EXCHANGE RATES USING
FEEDFORWARD AND RECURRENT
NEURAL NETWORKS
Chung-Ming Kuan
Department of Economics
University of Dlinois at Urbana-Champaign
and
Tung Liu
Department of Economics
Bail State University
First Draft: May 15, 1992
Revised: April 20, 1993
f We would like to thank Roger Koenker, Bill Maloney, Paul Newbold, and four anonymous referees for
their invaluable suggestions and comments. We are most grateful to Richard Baillie for providing us the
dataset and to Bruce Mizrach and Hal White for permitting us to access their programs. C.-M. Kuan also
thanks the Research Board of the University ofIllinois for research support. All remaining errors are ours.
An early version of this paper (based on a different data set) was presented at the 1992 North American
Winter Meeting of the Econometric Society in New Orleans, Louisiana.