Abstract
A decomposition clustering ensemble (DCE) learning approach is proposed for forecasting foreign exchange rates by integrating the variational mode decomposition (VMD), the self-organizing map (SOM) network, and the kernel extreme learning machine (KELM). First, the exchange rate time series is decomposed into N subcomponents by the VMD method. Second, each subcomponent series is modeled by the KELM. Third, the SOM neural network is introduced to cluster the subcomponent forecasting results of the in-sample dataset to obtain cluster centers. Finally, each cluster's ensemble weight is estimated by another KELM, and the final forecasting results are obtained by the corresponding clusters' ensemble weights. The empirical results illustrate that our proposed DCE learning approach can significantly improve forecasting performance, and statistically outperform some other benchmark models in directional and level forecasting accuracy.
| Original language | English |
|---|---|
| Pages (from-to) | 45-54 |
| Journal | Journal of Management Science and Engineering |
| Volume | 4 |
| Issue number | 1 |
| Online published | 20 Feb 2019 |
| DOIs | |
| Publication status | Published - Mar 2019 |
Bibliographical note
Publication details (e.g. title, author(s), publication statuses and dates) are captured on an “AS IS” and “AS AVAILABLE” basis at the time of record harvesting from the data source. Suggestions for further amendments or supplementary information can be sent to [email protected].Research Keywords
- Decomposition ensemble learning
- Exchange rates forecasting
- Kernel extreme learning machine
- Self-organizing map
- Variational mode decomposition
Publisher's Copyright Statement
- This full text is made available under CC-BY-NC-ND 4.0. https://creativecommons.org/licenses/by-nc-nd/4.0/