کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
411206 679184 2007 10 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
A multivariate neuro-fuzzy system for foreign currency risk management decision making
موضوعات مرتبط
مهندسی و علوم پایه مهندسی کامپیوتر هوش مصنوعی
پیش نمایش صفحه اول مقاله
A multivariate neuro-fuzzy system for foreign currency risk management decision making
چکیده انگلیسی

Currency risk management decision involves deciding on when, how much and what hedging instrument (i.e., currency futures or options) should be used to hedge its risk exposure with the base currency. Intuitively the accuracy in forecasting the direction and magnitude of future exchange rate movements is central to currency risk management decision-making process. This research investigates the predictive performance of a hybrid multivariate model, using multiple macroeconomic and microstructure of foreign exchange market variables. Conceptually, the proposed system combines and exploits the merit of adaptive learning artificial neural network (ANN) and intuitive reasoning (fuzzy-logic inference) tools. An ANN is employed to forecast a foreign exchange rate movement which is followed by the intuitive reasoning of multi-period foreign currency returns using multi-value fuzzy logic for foreign currency risk management decision-making. Empirical tests with statistical and machine learning criteria reveal plausible performance of its predictive capability.

ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Neurocomputing - Volume 70, Issues 4–6, January 2007, Pages 942–951
نویسندگان
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