Method and apparatus for foreign exchange rate time series prediction and classification

US5761386A · kind A · utility

Assignee

• NEC Research Institute, Inc. · US

Inventors

• Stephen R. Lawrence · Mountain View, US
• C. Lee Giles · Lawrenceville, US

Key dates

• Filing date: Jun 16, 1997
• Grant date: Jun 2, 1998
• Expiry date: Jun 16, 2017

Classification

• Technology area (CPC Y): Emerging Cross-Sectional Technologies
• CPC primary: Y10S706/925
• WIPO field: IT methods for management
• WIPO sector: Electrical engineering

Abstract

A method and apparatus for the prediction of time series data, specifically, the prediction of a foreign currency exchange rate. The method disclosed transforms the time series data into a difference of a series, compresses the transformed data using a log transformation, converts the compressed data into symbols, and subsequently trains one or more neural networks on the symbols such that a prediction is generated. Alternative embodiments demonstrate the conversion by a self-organizing map and training by a recurrent neural network.