Neural networks and multivariate currency forecasting
N. Kahhwa, Gan Woon Seng · 2002
A neural network approach to multivariate currency forecasting is presented. The performance of this model is compared with a univariate currency model for the major currencies, the Swiss Franc; Deutschemark and the Yen. The multivariate currency model outperforms the univariate model in prediction for all three currencies for single-step and multi-step forecasting.