Multistage RBF neural network ensemble learning for exchange rates forecasting

Authors:
Lean Yu;Kin Keung Lai;Shouyang Wang
Affiliations:
Institute of Systems Science, Academy of Mathematics and Systems Science, Chinese Academy of Sciences, Beijing 100190, China and Department of Management Sciences, City University of Hong Kong, Ta ...;Department of Management Sciences, City University of Hong Kong, Tat Chee Avenue, Kowloon, Hong Kong;Institute of Systems Science, Academy of Mathematics and Systems Science, Chinese Academy of Sciences, Beijing 100190, China
Venue:
Neurocomputing
Year:
2008

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Abstract

In this study, a multistage nonlinear radial basis function (RBF) neural network ensemble forecasting model is proposed for foreign exchanger rates prediction. In the process of ensemble modeling, the first stage produces a great number of single RBF neural network models. In the second stage, a conditional generalized variance (CGV) minimization method is used to choose the appropriate ensemble members. In the final stage, another RBF network is used for neural network ensemble for prediction purpose. For testing purposes, we compare the new ensemble model's performance with some existing neural network ensemble approaches in terms of four exchange rates series. Experimental results reveal that the predictions using the proposed approach are consistently better than those obtained using the other methods presented in this study in terms of the same measurements.