Proceedings of the International Conference on
Software, Knowledge, Information Management and Applications (SKIMA 2013)
Advanced Technology Solutions and Applications in Higher Education and Enterprises
 
(from Chapter 3: Intelligent Systems)

 Full Citation and Abstract

Title: A new intelligent foreign exchange rate prediction scheme for the Central Bank of Vietnam
  Author(s): Hiep Hoang, Alamgir Hossain
  Address: Software Division, Information Technology, Department of the State Bank of Vietnam, 64 Nguyen Chi Thanh str, Dong Da dist, Ha Noi, Vietnam
Computational Intelligence Group, School of Computing, Engineering and Information Sciences, University of Northumbria at Newcastle, NE1 8ST, UK
phunghiep80 @ gmail.com, alamgir.hossain @ northumbria.ac.uk
  Reference: SKIMA 2013 Proceedings  pp. 81 - 90
  Abstract/
Summary
Over the past few years, a number of forecasting methods have been proposed for financial sectors. Nevertheless, the foreign exchange forecasting accuracy rates of these traditional models are not good enough. In addition, exchange rate prediction of the Central Bank of Vietnam has been given less attention despite its huge contribution to the economic development of Vietnam. The aim of this paper is to present a fuzzy time series model for foreign exchange rate forecasting to overcome the disadvantage of the existing approaches. The proposed method is designed by integrating of two key points: 1) K-means clustering algorithm; 2) ordered weighted averaging (OWA) operator. The proposed algorithm has been designed, implemented, tested and verified through a set of experiment. Finally the effectiveness of the proposed algorithm is demonstrated by comparing with several existing prediction models by using mean absolute percentage error (MAPE) and mean square error (MSE) values.
 
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