Chinese Currency Exchange Rates Forecasting with EMD-Based Neural Network

Table 1

Literature on individual and hybrid forecasting models.

Study	Type	Algorithm	Data	Time range	Criteria
Aladag et al. [11]	Individual	ANN	Exchange rates (TL/EUR, LEU/EUR)	2005–2012	RMSE
Alvarez-Diaz and Alvarez [18]	Individual	GP	Exchange rates (various pairs)	1971–2000	R-square
Álvarez-Díaz and Álvarez [22]	Individual	GP, ANN	Exchange rates (GBP/USD, JPY/USD)	1973–2002	NMSE, SR
Álvarez Díaz [31]	Individual	GP	Exchange rates (GBP/USD, JPY/USD)	1973–2002	U-Theil value, SR
Huang et al. [32]	Individual	ANN	Exchange rates (USD/GBP, USD/JPY)	1997–2002	RMSE
Kajitani et al. [13]	Individual	ANN	Canadian lynx data	1821–1934	RMSE
Neely et al. [19]	Individual	GP	Exchange rates (various pairs)	1974–1995	Excess return
Nikolsko-Rzhevskyy and Prodan [33]	Individual	Markov switching	Exchange rates (various pairs)	1983–2008	MSE
Wong et al. [24]	Individual	Novel ANN	Simulated time series data	–	MAPE, NMSE
Yu et al. [16]	Individual	Least squares SVM	Crude oil	2008–2015	MAPE
Yu et al. [25]	Individual	Artificial intelligence	Global oil consumption	2004–2015	PCC, AUC, RMSE, MAPE
Zhang [10]	Individual	ANN	Simulated time series data	—	MSE, MAPE
Zhao and Yang [23]	Individual	CRPSO-based neuron model	Simulated time series data, electroencephalogram data	—	MSE
Cao [15]	Hybrid	SVM + SOM	Sunspot data, Santa Fe datasets A, C, and D, and the two building datasets	—	NMSE, RMSE, CV
Chen et al. [28]	Hybrid	EMD + ANN	Tourism demand	1971–2009	MAPE, RMSE, MAE
Khashei et al. [7]	Hybrid	ARIMA + ANNs + fuzzy	Exchange rates (USD/Iran rials), gold price	2005–2006	MAE, MSE
Lin et al. [29]	Hybrid	EMD + SVM	Exchange rates (various pairs)	2005–2009	MAPE, RMSE, MAE, DS, CP, CD
Tang et al. [30]	Hybrid	EEMD + RVFL	Crude oil	1986–2010	MAPE, RMSE, DS
Yu et al. [12]	Hybrid	ANN + WD	Patient visits	2010–2015	RMSE, MAPE
Yu et al. [27]	Hybrid	EMD + ANN	Crude oil	1986–2006	NMSE, DS
Yu et al. [17]	Hybrid	OPL + SVMQR	Ten publicly available datasets	—	Empirical risk, quantile property
Yu et al. [14]	Hybrid	Sparse representation + ANN	Crude oil	1986–2013	RMSE MAPE
Zhang [21]	Hybrid	ARIMA + ANN	Wolf’s sunspot data, Canadian lynx data, and GBP/USD	—	MSE, MAE

ANN: artificial neural network; SVM: support vector machine; GP: genetic programming; CRPSO: cooperative random learning particle swarm optimization; RVFL: random vector functional link; OPL: orthogonal pinball loss; SVMQR: SVM quantile regression; WD: wavelet decomposition; SOM: self-organization feature map; RMSE: root mean squared error; NMSE: normalized mean squared error; MAE: mean absolute error; MAPE: mean absolute percentage error; CV: coefficient of variation; PCC: percentage correctly classified accuracy; AUC: area under the receiver operating curve; SR: success ratio; DS: directional symmetry; CP: correct uptrend; CD: correct downtrend.