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ωj
i i Input layer determine the new search direction is to
combine the new steepest descent direction
xi with the previous search direction so that
the current and previous search directions
are conjugate as governed by the following
Fig. 2. A multiplayer feerforward ANN equations.
structure.
ωk +1 = ωk + α k pk ,
There are many different neural net learning
algorithms found in the literature. No study pk = − E ′ (ω) + α k pk +1
has been reported to analytically determine
the generalization performance of each where pk is the weight vector in k-th
algorithm. In this study we experimented iteration, pk and pk+1 are the conjugate
with three different neural network learning directions in successive iterations. αk and βk
algorithms, namely standard are calculated in each iteration. An
Backpropagation (BP), Scaled Conjugate important drawback of CG algorithm is the
Gradient Algorithm (SCG) and requirement of a line search in each
Backpropagation with regularization (BPR) iteration which is computationally
in order to evaluate which algorithm expensive. Moller introduced the SCG to
predicts the exchange rate of Australian avoid the time-consuming line search
dollar most accurately. In the following we procedure of conventional CG. SCG needs
describe the three algorithms briefly. to calculate Hessian matrix which is
approximated by
Training Algorithms
1.1
Technical and fundamental analyses are
the two major financial forecasting 0.9
105
experiments.
75
Data Collection 65
55
The data used in this study is the foreign 1 51 101 151 201 251 301 351 401 451 501 551
against Australian dollar from January 1991 Figure 4. Historical rates Japanese Yen
to July 2002 made available by the Reserve
60
Simulation Results
40
40
0.4
0.2 20
0 0
USD GBP JPY SGD NZD CHF
USD GBP JPY SGD NZD CHF
Fig. 5(a) NMSE over 35 weeks
Fig. 6(c) DS over 65 weeks
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interpolation,” Neural Computation, vol. 4, forecasting of forex,” Neurocomputing, vol.
pp. 415-447, 1992. 34, pp. 79-98, 2000.
[15] A.F. Moller, “A scaled conjugate [22] S. Yaser and A. Atiya, “Introduction to
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[16] D.E Rumelhart, J.L. McClelland and the Network Forecasting of the British
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0.52 Actual
0.32
Forecast
0.48
0.28
0.44 1 11 21 31 41 51 61
1 11 21 31 41 51 61
1.05
75 A ctual
1 Forecast
A ctual
70 Forecast
0.95
65
60 0.9
55 0.85
50
0.8
1 11 21 31 41 51 61
1 11 21 31 41 51 61
1.3 0.95
A ctual A ctual
Forecast
0.9 Forecast
1.25
0.85
1.2
0.8
1.15
0.75
1.1 0.7
1 11 21 31 41 51 61 1 11 21 31 41 51 61
75 1.05
Actual Forecast Actual Forecast
70 1
65 0.95
60 0.9
55 0.85
(c) JPY/AUD (d) SGD/AUD
50 0.8
1 11 21 31 41 51 61 1 11 21 31 41 51 61
1.3 1
1.14 0.75
(e) NZD/AUD (f) CHF/AUD
1.1 0.7
1 11 21 31 41 51 61 1 11 21 31 41 51 61
Figure 9. Forecasting of different currencies by SCG based neural network model over 65 weeks.