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An ensemble multi-objective particle swarm optimization approach for exchange rates forecasting problem

Dinh, T.T.H. and Vu, V.T. and Bui, L.T. (2020) An ensemble multi-objective particle swarm optimization approach for exchange rates forecasting problem. In: 4th International Conference on Machine Learning and Soft Computing, ICMLSC 2020, 17 January 2020 through 19 January 2020.

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Abstract

In this paper, the authors propose an ensemble multi-objective particle swarm optimisation approach (named EMPSO) for forecasting the currency exchange rate chain. The proposed algorithm consists of two main phases. The first phase uses a multi-objective particle swarm optimisation algorithm to find a set of the best optimal particles (named leaders). The second phase then uses these leaders to jointly calculate the final results by using the soft voting ensemble method. The two objective functions used here are predictive error and particle diversity. The empirical data used in this study are six different sets of currency exchange rates. Through comparison results with other evolutionary algorithms and other multi-objective PSO algorithms, the proposed algorithm shows that it can achieve better as well as more stability results on experimental data sets. © 2020 Association for Computing Machinery.

Item Type: Conference or Workshop Item (Paper)
Divisions: Institutes > Institute of Techniques for Special Engineering
Faculties > Faculty of Information Technology
Identification Number: 10.1145/3380688.3380717
Uncontrolled Keywords: Finance; Forecasting; Learning algorithms; Machine learning; Multiobjective optimization; Soft computing; Currency exchange rates; Ensemble learning; Forecasting problems; Multi objective; Multi objective particle swarm optimization; Particle swarm optimisation; Particle swarm optimisation algorithms; Time series forecasting; Particle swarm optimization (PSO)
Additional Information: Conference code: 158232. Language of original document: English.
URI: http://eprints.lqdtu.edu.vn/id/eprint/9076

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