An adaptive BP algorithm with optimal learning rates and directional error correction for foreign exchange market trend prediction

Authors:
Lean Yu;Shouyang Wang;Kin Keung Lai
Affiliations:
Institute of Systems Science, Academy of Mathematics and Systems Science, Chinese Academy of Sciences, Beijing, China;Institute of Systems Science, Academy of Mathematics and Systems Science, Chinese Academy of Sciences, Beijing, China;College of Business Administration, Hunan University, Changsha, China
Venue:
ISNN'06 Proceedings of the Third international conference on Advances in Neural Networks - Volume Part III
Year:
2006

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Abstract

In this study, a novel adaptive BP learning algorithm with optimal learning rates and directional error correction is proposed. In this algorithm, the optimal adaptive learning rates are used to adjust the weights in an adaptive and dynamical way. Meantime, the directional errors are fed back to learning process to increase the directional accuracy. For illustration and testing purposes the proposed algorithm is applied to the foreign exchange market trend prediction.