Abstract
This paper presents a new mixture of experts neural network architecture for the prediction of the US Dollar Swiss Franc exchange rate. This architecture achieves improved prediction results on noisy and non-stationary data. In contrast to previous efforts the current system was designed with a particular emphasis on solving the problems of local overfitting & underfitting caused by non-stationarity and noise in the data. The cascade correlation constructive neural network training algorithm was used for the fast training of near optimal complexity global & local experts. The Kohonen Self Organizing Map was used to find regions of the data on which to train local experts. Improved results were obtained by using a combination of the outputs of the global & local experts.
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© 1998 Springer-Verlag Berlin Heidelberg
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Hoang, D., Williamson, G. (1998). A mixture of global and local gated experts for the prediction of high frequency foreign exchange rates. In: Lee, HY., Motoda, H. (eds) PRICAI’98: Topics in Artificial Intelligence. PRICAI 1998. Lecture Notes in Computer Science, vol 1531. Springer, Berlin, Heidelberg . https://doi.org/10.1007/BFb0095281
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DOI: https://doi.org/10.1007/BFb0095281
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