Evolving Recurrent Neural Network using Cartesian Genetic Programming to Predict The Trend in Foreign Currency Exchange Rates

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@Article{journals/aai/ZafariKRM14,

• author = "Faheem Zafari and Gul Muhammad Khan and Mehreen Rehman and Sahibzada Ali Mahmud",
• title = "Evolving Recurrent Neural Network using Cartesian Genetic Programming to Predict The Trend in Foreign Currency Exchange Rates",
• journal = "Applied Artificial Intelligence",
• year = "2014",
• number = "6",
• volume = "28",
• pages = "597--628",
• keywords = "genetic algorithms, genetic programming, cartesian genetic programming",
• bibdate = "2014-07-28",
• bibsource = "DBLP, http://dblp.uni-trier.de/db/journals/aai/aai28.html#ZafariKRM14",
• ISSN = "0883-9514",
• broken = "doi:10.1080/08839514.2014.923174",
• URL = "https://www.tandfonline.com/doi/pdf/10.1080/08839514.2014.923174",
• broken = "http://www.tandfonline.com/doi/abs/10.1080/08839514.2014.923174",
• size = "32 pages",
• abstract = "Forecasting the foreign exchange rate is an uphill task. Numerous methods have been used over the years to develop an efficient and reliable network for forecasting the foreign exchange rate. This study uses recurrent neural networks (RNNs) for forecasting the foreign currency exchange rates. Cartesian genetic programming (CGP) is used for evolving the artificial neural network (ANN) to produce the prediction model. RNNs that are evolved through CGP have shown great promise in time series forecasting. The proposed approach uses the trends present in the historical data for its training purpose. Thirteen different currencies along with the trade-weighted index (TWI) and special drawing rights (SDR) is used for the performance analysis of recurrent Cartesian genetic programming-based artificial neural networks (RCGPANN) in comparison with various other prediction models proposed to date. The experimental results show that RCGPANN is not only capable of obtaining an accurate but also a computationally efficient prediction model for the foreign currency exchange rates. The results demonstrated a prediction accuracy of 98.872 percent (using 6 neurons only) for a single-day prediction in advance and, on average, 92percent for predicting a 1000 days' exchange rate in advance based on ten days of data history. The results prove RCGPANN to be the ultimate choice for any time series data prediction, and its capabilities can be explored in a range of other fields.",

}

Genetic Programming entries for Faheem Zafari Gul Muhammad Khan Mehreen Rehman Sahibzada Ali Mahmud

Citations