Forecasting Rmb Exchange Rate Based On Wavelet Analysis And Support Vector Machine

Exchange rate is an important variable which affects the internal and external equilibrium of economy. Exchange rate behavior becomes more and more complicated after the collapse of the Bretton Woods System. In recent years, International financial market fluctuates greatly, especially on the foreign exchange market. Foreign exchange market is a complicated non-linear dynamic system. It is very difficult to open out its inherent rules using traditional timing prediction technique. To improve the analysis of the pattern of the exchange rate, a new prediction technology based on Wavelet Analysis and Support Vector Regression(SVR)has been proposed.This paper firstly reviews the development of exchange rate forecasting models and techniques, specifically analyzes the application of support vector machine and wavelet analysis, especially in exchange rate forecasting field. With consideration of the non-linear and noise-contaminated characteristic of the exchange rate series, together with the advantages of support vector machine and wavelet analysis in non-linear forecasting and denoising respectively, a combinative model based on wavelet analysis and support vector machine for exchange rate forecasting is developed. The Wavelet Analysis and AR-SVM model is tested by empirical research with the RMB/USD exchange rate. The empirical results show that the proposed model outperforms the AR-SVM model and BP neural network model. Experiments show the effectiveness of the predicting method. Meanwhile, the SVR model is more accurate than BP neural network model and AR-SVM mode by conducting a significance test.The thesis applies Wavelet Analysis and support vector machine to predict the RMB exchange rate. The results not only has important theoretical value and practical meanings for policy maker to deeply understand the behavior characteristic of exchange rate and to make the macroeconomic policy related to exchange rate, but for enterprise to operate and avoid risk and for investor to make better investment strategies.