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Wavelet-Based Elman Neural Network with the Modified Differential Evolution Algorithm for Forecasting Foreign Exchange Rates
- Source :
- Journal of Systems Science and Information. 9:421-439
- Publication Year :
- 2021
- Publisher :
- Journal of Systems Science and Information (JSSI), 2021.
-
Abstract
- It is challenging to forecast foreign exchange rates due to the non-linear characters of the data. This paper applied a wavelet-based Elman neural network with the modified differential evolution algorithm to forecast foreign exchange rates. Elman neural network has dynamic characters because of the context layer in the structure. It makes Elman neural network suit for time series problems. The main factors, which affect the accuracy of the Elman neural network, included the transfer functions of the hidden layer and the parameters of the neural network. We applied the wavelet function to replace the sigmoid function in the hidden layer of the Elman neural network, and we found there was a “disruption problem” caused by the non-linear performance of the wavelet function. It didn’t improve the performance of the Elman neural network, but made it get worse in reverse. Then, the modified differential evolution algorithm was applied to train the parameters of the Elman neural network. To improve the optimizing performance of the differential evolution algorithm, the crossover probability and crossover factor were modified with adaptive strategies, and the local enhanced operator was added to the algorithm. According to the experiment, the modified algorithm improved the performance of the Elman neural network, and it solved the “disruption problem” of applying the wavelet function. These results show that the performance of the Elman neural network would be improved if both of the wavelet function and the modified differential evolution algorithm were applied integratedly.
- Subjects :
- Statistics and Probability
Artificial neural network
Computer Networks and Communications
business.industry
Computer science
Applied Mathematics
Computer Science::Neural and Evolutionary Computation
General Decision Sciences
Pattern recognition
Foreign exchange rates
Wavelet
Control and Systems Engineering
Artificial intelligence
business
General Economics, Econometrics and Finance
Differential evolution algorithm
Subjects
Details
- ISSN :
- 25126660
- Volume :
- 9
- Database :
- OpenAIRE
- Journal :
- Journal of Systems Science and Information
- Accession number :
- edsair.doi...........9284f1f5ac91b1c4564606fe8f6a0279