doiSerbia

Input data preprocessing method for exchange rate forecasting via neural network

Antić Dragan S. (Faculty of Electronic Engineering, Niš)
Milovanović Miroslav B. (Faculty of Electronic Engineering, Niš)
Perić Staniša Lj. (Faculty of Electronic Engineering, Niš)
Nikolić Saša S. (Faculty of Electronic Engineering, Niš)
Milojković Marko T. (Faculty of Electronic Engineering, Niš)

The aim of this paper is to present a method for neural network input parameters selection and preprocessing. The purpose of this network is to forecast foreign exchange rates using artificial intelligence. Two data sets are formed for two different economic systems. Each system is represented by six categories with 70 economic parameters which are used in the analysis. Reduction of these parameters within each category was performed by using the principal component analysis method. Component interdependencies are established and relations between them are formed. Newly formed relations were used to create input vectors of a neural network. The multilayer feed forward neural network is formed and trained using batch training. Finally, simulation results are presented and it is concluded that input data preparation method is an effective way for preprocessing neural network data.

Keywords: neural network, databases, forecasting, input data, reduction

Projekat Ministarstva nauke Republike Srbije, br.TR 35005, br. III 43007 i br. III 44006