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Building a Model for Prediction Exchange Rate from USD to VND Using a Novel Method
American Journal of Electrical and Computer Engineering
Volume 4, Issue 2, December 2020, Pages: 55-61
Received: Sep. 10, 2020; Accepted: Sep. 23, 2020; Published: Oct. 13, 2020
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Authors
Nghien Nguyen Ba, Information Technology Faculty, Ha Noi University of Industry, Ha Noi, Vietnam
Cuong Nguyen Thai, Information Technology Faculty, Ha Noi University of Industry, Ha Noi, Vietnam
Huyen Le Xuan, Foreign Language Faculty, Ha Noi University of Industry, Ha Noi, Vietnam
Nhung Nguyen Thi, Information Technology Faculty, Ha Noi University of Industry, Ha Noi, Vietnam
Phuong Pham Thi Kim, Information Technology Faculty, Ha Noi University of Industry, Ha Noi, Vietnam
Thuy Ngo Thi Bich, Information Technology Faculty, Ha Noi University of Industry, Ha Noi, Vietnam
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Abstract
In this paper, the combination of the Hilbert-Huang Transform (HHT), Support Vector Regression (SVR) and an embedding theorem is described to predict the short-term exchange rate from United States dollar to Vietnamese Dong. Firstly, we use Empirical Mode Decomposition (EMD) of the HHT to decompose a signal into multi oscillation scales called Intrinsic Mode Function (IMF). After that, we synthesis the signal without highest oscillation IFM to reduce noise. Next, we use the False nearest neighbors algorithm to find the embedding dimension space of the de-noise signal. Finally, we use SVR to build a model for prediction exchange rate between US dollar and VND. By using the Hilbert-Huang Transform as an adaptive filter, the proposed method decreases the embedding dimension space from twelve (original samples) to four (de-noising samples). This dimension space provides the number of inputs to the SVR model, which affects the complexity and the training time decrease of the model. Experimental results indicated that this method not only reduces complication of the model but also achieves higher accuracy prediction than the direct use of original data.
Keywords
SVR, Embedding Dimension Space, HHT, Average Mutual Information, Prediction
To cite this article
Nghien Nguyen Ba, Cuong Nguyen Thai, Huyen Le Xuan, Nhung Nguyen Thi, Phuong Pham Thi Kim, Thuy Ngo Thi Bich, Building a Model for Prediction Exchange Rate from USD to VND Using a Novel Method, American Journal of Electrical and Computer Engineering. Vol. 4, No. 2, 2020, pp. 55-61. doi: 10.11648/j.ajece.20200402.14
Copyright
Copyright © 2020 Authors retain the copyright of this article.
This article is an open access article distributed under the Creative Commons Attribution License (http://creativecommons.org/licenses/by/4.0/) which permits unrestricted use, distribution, and reproduction in any medium, provided the original work is properly cited.
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