Forecasting Exchange Rates Using Neural Networks - Abstract

Forecasting Exchange Rates Using Neural Networks for
Technical Trading Rules

Philip Hans Franses
Econometric Institute and Rotterdam Institute for Business Economic Studies
Erasmus University

Kasper van Griensven
ABN-AMRO Bank


Pages 109-114

Abstract

We examine the performance of artificial neural networks (ANNs) for technical trading rules for forecasting daily exchange rates. The main conclusion of our attempt is that ANNs perform well, and that they are often better than linear models. Furthermore, the precise number of hidden layer units in ANNs appears less important for forecasting performance than is the choice of explanatory variables.

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