株式と外国為替取引のジャーナル
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概要

Comparing RMB Exchange Rate Forecasting Accuracy based on Dynamic BP Neural Network Model and the ARMA Model

Zhiqiang Ye, Xiang Ren and Yaling Shan

This paper uses the dynamic back propagation (BP) neural network model and the autoregressive moving average (ARMA) model to forecast the RMB exchange rate based on the data from January 1, 2011 to October 10, 2012. The results show that the dynamic BP neural network model works better than the ARMA model in evaluating both the trend and the deviation of RMB exchange rate.