G-2000-02
Learning and Forecasting Foreign Exchange Rates using Recurrent Neural Network Dynamics
Bernard K.-S. Cheung et Leong-Kwan Li
Changes in financial market are collective human decisions which are result of the dynamics of the neurons. In this paper, we describe a discrete time Recurrent Neural Network model for the exchange rate changes of some major currencies. We have been able to show that this model after going through a proper learning process with some historical data, is capable of tracking those foreign exchange rate trajectories quite closely.
Paru en janvier 2000 , 13 pages