Forecasting Exchange Rate Value at Risk using Deep Belief Network Ensemble based Approach.
Kaijian HeLei JiGeoffrey K. F. TsoBangzhu ZhuYingchao ZouPublished in: ITQM (2018)
Keyphrases
- exchange rate
- risk aversion
- foreign exchange
- deep belief networks
- financial time series
- stock price
- neural network
- ensemble methods
- early warning
- long run
- currency exchange
- probabilistic model
- restricted boltzmann machine
- unsupervised learning
- training data
- generative model
- state space
- training set
- hierarchical models
- learning algorithm
- information retrieval