An Improved Dynamic Bayesian for Exchange Rate Forecasting
Abstract: A feasibility study
of using of Dynamic Bayesian Networks in combination with ARMA modeling in exchange
rate prediction is presented. A new algorithm (ARMA-DBN) is constructed and
applied to the exchange rate forecast of RMB. Results show that the improved
dynamic Bayesian forecast algorithm has better performance than the standard
ARMA model.
Author: Mingjuan Xu, Zhengyu
Liu
Journal Code: jptkomputergg160061
