文章基本信息

标题：A decomposition clustering ensemble learning approach for forecasting foreign exchange rates
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作者：Yunjie Wei ; Shaolong Sun ; Jian Ma 等
期刊名称：Journal of Management Science and Engineering
印刷版ISSN：2096-2320
出版年度：2019
卷号：4
期号：1
页码：45-54
DOI：10.1016/j.jmse.2019.02.001
语种：English
出版社：Elsevier
摘要：AbstractA 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.
关键词：Exchange rates forecasting;Variational mode decomposition;Kernel extreme learning machine;Self-organizing map;Decomposition ensemble learning