Foreign Currency Exchange Rates Prediction Using CGP and Recurrent Neural Network

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@Article{Rehman:2014:IERI_FIE,
  author =       "Mehreen Rehman and Gul Muhammad Khan and 
                 Sahibzada Ali Mahmud",
  title =        "Foreign Currency Exchange Rates Prediction Using {CGP}
                 and Recurrent Neural Network",
  journal =      "IERI Procedia",
  volume =       "10",
  pages =        "239--244",
  year =         "2014",
  note =         "International Conference on Future Information
                 Engineering (FIE 2014)",
  ISSN =         "2212-6678",
  DOI =          "doi:10.1016/j.ieri.2014.09.083",
  URL =          "http://www.sciencedirect.com/science/article/pii/S2212667814001312",
  abstract =     "Feedback in Neuro-Evolution is explored and evaluated
                 for its application in devising prediction models for
                 foreign currency exchange rates. A novel approach to
                 foreign currency exchange rates forecasting based on
                 Recurrent Neuro-Evolution is introduced. Cartesian
                 Genetic Programming (CGP) is the algorithm deployed for
                 the forecasting model. Recurrent Cartesian Genetic
                 Programming evolved Artificial Neural Network (RCGPANN)
                 is demonstrated to produce computationally efficient
                 and accurate model for forex prediction with an
                 accuracy of as high as 98.872percent for a period of
                 1000 days. The approach uses the trends that are being
                 followed in historical data to predict five currency
                 rates against Australian dollar. The model is evaluated
                 using statistical metrics and compared. The
                 computational method outperforms the other methods
                 particularly due to its capability to select the best
                 possible feature in real time and the flexibility that
                 the system provides in feature selection, connectivity
                 pattern and network.",
  keywords =     "genetic algorithms, genetic programming, Foreign
                 exchange rate forecasting, Neural Networks,
                 Neuro-evolution, Recurrent Networks, Time Series
                 Prediction",
}

Genetic Programming entries for Mehreen Rehman Gul Muhammad Khan Sahibzada Ali Mahmud

Citations