Exchange rate forecasting using modified empirical mode decomposition and least squares support vector machine

• Main Authors: Abdul Rashid, Nur Izzati, Samsudin, Ruhaidah, Shabri, Ani
• Format: Article
• Published: International Center for Scientific Research and Studies 2016
• Subjects: QA75 Electronic computers. Computer science
• Online Access: http://eprints.utm.my/id/eprint/71230/; https://www.scopus.com/inward/record.uri?eid=2-s2.0-85010427055&partnerID=40&md5=631643f0150ef2ece9a4bf0e24623da6
• Institution: Universiti Teknologi Malaysia

Forecasting exchange rate requires a model that can capture the non-stationary and non-linearity of the exchange rate data. In this paper, empirical mode decomposition (EMD) is combines with least squares support vector machine (LSSVM) model in order to forecast daily USD/TWD exchange rate. EMD is u...