Analysis Of RMB Exchange Rate Chaotic Characteristics And Its Forecast Based On Support Vector Machines

Exchange rate is an important variable that affects the internal and external equilibrium of economy. It has been a hot and difficult issue that examining the characteristic of exchange rate behavior and its patterns, revealing its internal rules, drawing more realistic description of the exchange rate behavior and predicting exchange rate more accurate, and making more effective exchange rate policy.Exchange rate behavior becomes more and more complicated after the collapse of the Bretton Woods System. The traditional exchange rate theories explain the real volatility of exchange rate not very well. Chaos theory becomes a new approach to study exchange rate behavior. We use a series of methods of chaos analysis, including phase space reconstruction technique, the R/S analysis method, correlation dimension and Lyapunov exponent analysis method to study the RMB/USD exchange rate behavior. The result of the study demonstrates the behavior of RMB/USD Exchange Rate is a chaotic system and has the characteristic of sensitive dependence to initial conditions. Therefore, RMB exchange rate is only appropriate for short term forecast.Based on what mentioned above, the thesis constructs the Support Vector Regression (SVR) predicting model by combining phase space reconstruction technique and support vector machine. Phase space reconstruction technique is used to reconstruct the RMB/USD Exchange rate series, and support vector machine regression model is built and used to predict the exchange rate. The empirical analysis shows that the SVR model has better predicting result than other four predict methods. Meanwhile, the SVR model is more accurate than random walker model by conducting a significance test.The thesis applies Chaos theory, phase space reconstruction technique 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.