How to cite this paper
Fathian, M & Kia, A. (2002). Exchange rate prediction with multilayer perceptron neural network using gold price as external factor.Management Science Letters , 2(2), 561-570.
Refrences
Bildirici, M., & Ersin, O.O. (2009). Improving forecasts of GARCH family models with the artificial neural networks: An application to the daily returns in Istanbul Stock Exchange. Expert Systems with Applications, 7355-7362.
Bildirici, M., Alp, E.A., & Ersin, O.O. (2010). TAR-Cointegration neural network model: An empirical analysis of exchange rates and stock returns. Expert Systems with Applications, 2-11.
Box, G.E.P., Jenkins, G.M., & Reinsel, G.C. (1994). Time Series Analysis: Forecasting and Control. Englewood Cliffs, NJ: Prentice-Hall.
Chen, Ch.I., Chen, H.L, & Chen, Sh.P. (2008). Forecasting of foreign exchange rates of Taiwan’s major trading partners by novel nonlinear Grey Bernoulli model NGBM(1,1). Communications in Nonlinear Science and Numerical Simulation, 13, 1194–1204.
Cornell, W.B, Dietrich, Kimbell, J. (1978). The efficiency of the market for foreign exchange rates. Review of Economic Studies. Journal of Finance, 60, 111– 120.
Devereuxa, M.B., & Engel, Ch. (2002). Exchange rate pass-through, exchange rate volatility, and exchange rate disconnect. Journal of Monetary Economics, 49, 913–940.
Friedman, D., & Vandersteel, S. (1982). Short-run fluctuations in foreign exchange rates evidence from data, 1973–79. Journal of International Economics, 13, 171– 186.
Gourinchasa, P.O., & Tornell, A. (2004). Exchange rate puzzles and distorted beliefs. Journal of International Economics, 64, 303– 333.
Haykin, S. (1998, July 16). Neural Networks—A Comprehensive Foundation (2nd ed.). Englewood Cliffs: Prentice-Hall.
Huang, Sh.Ch., & Wu, T.K. (2008). Integrating GA-based time-scale feature extractions with SVMs for stock index forecasting. Expert Systems with Applications, 35, 2080–2088.
Karuppiaha, J., & Los, C.A. (2005). Wavelet multiresolution analysis of high-frequency Asian FX rates, Summer 1997. International Review of Financial Analysis, 14, 211– 246.
Kay, J.W., & Titterington, D.M. (2000). Statistics and neural networks: advances at the interface. USA: Oxford University Press.
Kim, S.J, & Sheen, J. (2006). Interventions in the Yen–dollar spot market: A story of price, volatility and volume. Journal of Banking & Finance, 30, 3191–3214.
Kohli, R. (2003). Real exchange rate stabilisation and managed floating: exchange rate policy in India, 1993–2001. Journal of Asian Economics, 14, 369–387.
Lee, V.C.S., & Wong, H.T. (2007). A multivariate neuro-fuzzy system for foreign currency risk, management decision making. Neurocomputing, 70, 942–951.
McFarland, J.W., Pettit, Richardson, R., & Ksung, S. (1982). The distribution of foreign exchange price changes: Trading day effects and risk management. Journal of Finance, 37, 693– 715.
Ni, H., & Yin, H. (2009). A self-organising mixture autoregressive network for FX time series modelling and prediction. Neurocomputing, 72, 3529–3537.
O’Connor, N., & Madden, M.G. (2006). A neural network approach to predicting stock exchange movements using external factors. Knowledge-Based Systems, 19, 371-378.
White, H. (1989). Learning in artificial neural networks: a statistical perspective. Neural Computing, 1, 425-464.
Yao, J., & Tan, C.J. (2000). A case study on using neural networks to perform technical forecasting of FOREX. Neurocomputing, 34, 79-98.
Yu, L., Lai, K., & Wang, S. (2008). Multistage RBF neural network ensemble learning for exchange rate forecasting. Neurocomputing, 71, 3295-3302.
Yu, L., Wang, S., & Lai, K. (2009). A neural-network-based nonlinear metamodeling approach to financial time series forecasting. Applied Soft Computing, 9, 563-574.
Yu, L., Wang, S., & Lai, K. (2005). A novel nonlinear ensemble forecasting model incorporating GLAR and ANN for foreign exchange rates. Computers & Operations Research, 32, 2523-2541.
Zhang, Y.Q., & Wan, X. (2007). Statistical fuzzy interval neural networks for currency exchange rate time series prediction. Applied Soft Computing, 70, 1149–1156.
Bildirici, M., Alp, E.A., & Ersin, O.O. (2010). TAR-Cointegration neural network model: An empirical analysis of exchange rates and stock returns. Expert Systems with Applications, 2-11.
Box, G.E.P., Jenkins, G.M., & Reinsel, G.C. (1994). Time Series Analysis: Forecasting and Control. Englewood Cliffs, NJ: Prentice-Hall.
Chen, Ch.I., Chen, H.L, & Chen, Sh.P. (2008). Forecasting of foreign exchange rates of Taiwan’s major trading partners by novel nonlinear Grey Bernoulli model NGBM(1,1). Communications in Nonlinear Science and Numerical Simulation, 13, 1194–1204.
Cornell, W.B, Dietrich, Kimbell, J. (1978). The efficiency of the market for foreign exchange rates. Review of Economic Studies. Journal of Finance, 60, 111– 120.
Devereuxa, M.B., & Engel, Ch. (2002). Exchange rate pass-through, exchange rate volatility, and exchange rate disconnect. Journal of Monetary Economics, 49, 913–940.
Friedman, D., & Vandersteel, S. (1982). Short-run fluctuations in foreign exchange rates evidence from data, 1973–79. Journal of International Economics, 13, 171– 186.
Gourinchasa, P.O., & Tornell, A. (2004). Exchange rate puzzles and distorted beliefs. Journal of International Economics, 64, 303– 333.
Haykin, S. (1998, July 16). Neural Networks—A Comprehensive Foundation (2nd ed.). Englewood Cliffs: Prentice-Hall.
Huang, Sh.Ch., & Wu, T.K. (2008). Integrating GA-based time-scale feature extractions with SVMs for stock index forecasting. Expert Systems with Applications, 35, 2080–2088.
Karuppiaha, J., & Los, C.A. (2005). Wavelet multiresolution analysis of high-frequency Asian FX rates, Summer 1997. International Review of Financial Analysis, 14, 211– 246.
Kay, J.W., & Titterington, D.M. (2000). Statistics and neural networks: advances at the interface. USA: Oxford University Press.
Kim, S.J, & Sheen, J. (2006). Interventions in the Yen–dollar spot market: A story of price, volatility and volume. Journal of Banking & Finance, 30, 3191–3214.
Kohli, R. (2003). Real exchange rate stabilisation and managed floating: exchange rate policy in India, 1993–2001. Journal of Asian Economics, 14, 369–387.
Lee, V.C.S., & Wong, H.T. (2007). A multivariate neuro-fuzzy system for foreign currency risk, management decision making. Neurocomputing, 70, 942–951.
McFarland, J.W., Pettit, Richardson, R., & Ksung, S. (1982). The distribution of foreign exchange price changes: Trading day effects and risk management. Journal of Finance, 37, 693– 715.
Ni, H., & Yin, H. (2009). A self-organising mixture autoregressive network for FX time series modelling and prediction. Neurocomputing, 72, 3529–3537.
O’Connor, N., & Madden, M.G. (2006). A neural network approach to predicting stock exchange movements using external factors. Knowledge-Based Systems, 19, 371-378.
White, H. (1989). Learning in artificial neural networks: a statistical perspective. Neural Computing, 1, 425-464.
Yao, J., & Tan, C.J. (2000). A case study on using neural networks to perform technical forecasting of FOREX. Neurocomputing, 34, 79-98.
Yu, L., Lai, K., & Wang, S. (2008). Multistage RBF neural network ensemble learning for exchange rate forecasting. Neurocomputing, 71, 3295-3302.
Yu, L., Wang, S., & Lai, K. (2009). A neural-network-based nonlinear metamodeling approach to financial time series forecasting. Applied Soft Computing, 9, 563-574.
Yu, L., Wang, S., & Lai, K. (2005). A novel nonlinear ensemble forecasting model incorporating GLAR and ANN for foreign exchange rates. Computers & Operations Research, 32, 2523-2541.
Zhang, Y.Q., & Wan, X. (2007). Statistical fuzzy interval neural networks for currency exchange rate time series prediction. Applied Soft Computing, 70, 1149–1156.