LAPSE:2023.4261
Published Article
LAPSE:2023.4261
Exchange Rate Forecasting Based on Combined Fuzzification Strategy and Advanced Optimization Algorithm
February 22, 2023
Abstract
Exchange rate forecasting is a crucial but challenging task due to the uncertainty and fuzziness of the associated data caused by complex influence factors. However, most traditional forecasting methods ignore the ambiguity of the data itself. Thus, in this paper, a novel fuzzy time series forecasting system based on a combined fuzzification strategy and an advanced optimization algorithm was proposed for use in exchange rate forecasting, and was proven to have an excellent ability to deal with the uncertainties and ambiguities in data. Concretely, the data “decomposition and ensemble” strategy was applied to carry out the data preprocessing process. The combined fuzzification strategy was used in the fuzzification of the observed data, and the advanced optimization algorithm was developed to determine the optimal parameters in the models. The analysis of this experiment verified the effectiveness of the proposed forecasting system, which will benefit future research and decision-making related to investments.
Exchange rate forecasting is a crucial but challenging task due to the uncertainty and fuzziness of the associated data caused by complex influence factors. However, most traditional forecasting methods ignore the ambiguity of the data itself. Thus, in this paper, a novel fuzzy time series forecasting system based on a combined fuzzification strategy and an advanced optimization algorithm was proposed for use in exchange rate forecasting, and was proven to have an excellent ability to deal with the uncertainties and ambiguities in data. Concretely, the data “decomposition and ensemble” strategy was applied to carry out the data preprocessing process. The combined fuzzification strategy was used in the fuzzification of the observed data, and the advanced optimization algorithm was developed to determine the optimal parameters in the models. The analysis of this experiment verified the effectiveness of the proposed forecasting system, which will benefit future research and decision-making related to investments.
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Keywords
advanced optimization algorithm, combined fuzzification strategy, exchange rate forecasting, fuzzy time series
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Suggested Citation
Yin J, Zhang H, Zahra A, Tayyab M, Dong X, Ahmad I, Ahmad N. Exchange Rate Forecasting Based on Combined Fuzzification Strategy and Advanced Optimization Algorithm. (2023). LAPSE:2023.4261
Author Affiliations
Yin J: College of Civil Engineering and Architecture, China Three Gorges University, Yichang 443002, China; School of Urban Design, Wuhan University, No. 8, Donghu South Road, Wuchang District, Wuhan 430072, China
Zhang H: School of Finance, Dongbei University of Finance and Economics, Dalian 116025, China
Zahra A: School of Chemistry, Chemical Engineering and Life Sciences, Wuhan University of Technology, Wuhan 430070, China
Tayyab M: College of Hydraulic and Environmental Engineering, China Three Gorges University, Yichang 443002, China; College of Economics and Management, China Three Gorges University, Yichang 443002, China [ORCID]
Dong X: College of Hydraulic and Environmental Engineering, China Three Gorges University, Yichang 443002, China; Hubei Provincial Collaborative Innovation Center for Water Security, Wuhan 430070, China [ORCID]
Ahmad I: Centre of Excellence in Water Resources Engineering, University of Engineering and Technology, Lahore 54890, Pakistan [ORCID]
Ahmad N: School of Management, University of Science & Technology (USTC), Hefei 230026, China
Zhang H: School of Finance, Dongbei University of Finance and Economics, Dalian 116025, China
Zahra A: School of Chemistry, Chemical Engineering and Life Sciences, Wuhan University of Technology, Wuhan 430070, China
Tayyab M: College of Hydraulic and Environmental Engineering, China Three Gorges University, Yichang 443002, China; College of Economics and Management, China Three Gorges University, Yichang 443002, China [ORCID]
Dong X: College of Hydraulic and Environmental Engineering, China Three Gorges University, Yichang 443002, China; Hubei Provincial Collaborative Innovation Center for Water Security, Wuhan 430070, China [ORCID]
Ahmad I: Centre of Excellence in Water Resources Engineering, University of Engineering and Technology, Lahore 54890, Pakistan [ORCID]
Ahmad N: School of Management, University of Science & Technology (USTC), Hefei 230026, China
Journal Name
Processes
Volume
9
Issue
12
First Page
2204
Year
2021
Publication Date
2021-12-07
ISSN
2227-9717
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Original Submission
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PII: pr9122204, Publication Type: Journal Article
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LAPSE:2023.4261
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https://doi.org/10.3390/pr9122204
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Feb 22, 2023
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Feb 22, 2023
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