STROJOVÉ UČENÍ A MODELOVÁNÍ MĚNOVÝCH KURZŮ V PRAXI FINANČNÍHO ŘÍZENÍ

• Authors: Buryan Petr , Taušer Josef

Title variants

EN

Machine learning and exhange rate modelling in international financial management

• Languages of publication: CS

Abstracts

EN

Exchange rates forecasting is an important financial problem that is receiving increasing attention especially because of its difficulty and practical applications. This paper proposes utilisation of Machine Learning methods in the field of financial praxis. Two modelling approaches - enhanced Group Method of Data Handling (GMDH) and back propagation Neural network - were employed for CZK/EUR exchange rate forecasting. Predictions were used for financial management decision simulation of a virtual company and the results indicate, that machine learning proved to be useful source of information in the area. This implies that the proposed modelling approaches can be used as a feasible solution for exchange rate forecasting in exchange rate management.

Keywords

EN

EXCHANGE RATE FORECASTING; GROUP METHOD OF DATA HANDLING; MACHINE LEARNING METHODS; NEURAL NETWORKS

Discipline

• ECONOMICS: ECONOMICS

• Publisher: Institute of Slovak and World Economics and Institute for Forecasting, Slovak Academy of Sciences
• Journal: Ekonomický časopis (Journal of Economics)
• Year: 2008
• Volume: 56
• Issue: 8
• Pages: 781-799
• Document type: ARTICLE

Contributors

author

Buryan Petr

• České vysoké učení technické v Praze, Fakulta elektrotechnická, Karlovo náměstí 13, 121 35 Praha, Czech Republic

author

Taušer Josef

• P. Buryan, Ekonomicky ustav SAV, Sancova 56, 811 05 Bratislava 1, Slovak Republic

Identifiers

CEJSH db identifier

09SKAAAA05563