Modelling Exchange Rates during Currency Crisis using Neural Networks

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dc.contributor.author Nasr, G. E.
dc.contributor.author Dibeh, G.
dc.contributor.author Abdallah, M.
dc.contributor.editor Hamza, M.H. en_US
dc.date.accessioned 2017-08-25T11:10:10Z
dc.date.available 2017-08-25T11:10:10Z
dc.date.copyright 2006 en_US
dc.date.issued 2017-08-25
dc.identifier.isbn 889865590 en_US
dc.identifier.uri http://hdl.handle.net/10725/6085 en_US
dc.description.abstract This paper presents an artificial neural network (ANN) approach to the forecasting of exchange rate movements during periods of currency crises characterized by excessive volatility. The models are built using the feedforward ANN structure trained by the backpropagation algorithm. Exchange rate data from the Lebanese currency crisis period of 1985-1992 is used for training, testing and evaluation of the models. Forecasting performance measures represented by well established error functions are presented for the three models. The best model shows that artificial neural networks are able to forecast exchange rates during periods of extreme fluctuations. en_US
dc.language.iso en en_US
dc.publisher ACTA Press en_US
dc.subject Computer simulation -- Congresses en_US
dc.title Modelling Exchange Rates during Currency Crisis using Neural Networks en_US
dc.type Conference Paper / Proceeding en_US
dc.author.school SOB en_US
dc.author.school SOE en_US
dc.author.idnumber 199390170 en_US
dc.author.idnumber 199490150 en_US
dc.author.department Department of Economics (ECON) en_US
dc.description.embargo N/A en_US
dc.description.physdesc vi, 562 p. : ill. en_US
dc.publication.place Anaheim, CA en_US
dc.keywords Modelling en_US
dc.keywords Neural Networks en_US
dc.keywords Currency Crisis en_US
dc.keywords Financial Markets en_US
dc.description.bibliographiccitations Includes bibliographical references. en_US
dc.identifier.ctation Nasr, G. E., Dibeh, G., & Abdallah, M. (2006). Modelling Exchange rates during currency crisis using neural networks. Applied Simulation and Modelling. en_US
dc.author.email genasr@lau.edu.lb en_US
dc.author.email gdibeh@lau.edu.lb en_US
dc.conference.date June 26-28, 2006 en_US
dc.conference.pages June 26-28, 2006, en_US
dc.conference.place Rhodes, Greece en_US
dc.conference.subtitle proceedings of the 15th IASTED International Conference on Applied Simulation and Modelling en_US
dc.conference.title Applied simulation and modelling en_US
dc.identifier.tou http://libraries.lau.edu.lb/research/laur/terms-of-use/articles.php en_US
dc.identifier.url http://www.actapress.com/Abstract.aspx?paperId=27342 en_US
dc.publication.date 2006 en_US
dc.author.affiliation Lebanese American University en_US

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