Foreign Currency Exchange Rates Prediction Using CGP and Recurrent Neural Network

Abstract

Feedback in Neuro-Evolution is explored and evaluated for its application in devising prediction models for foreign currency exchange rates. A novel approach to foreign currency exchange rates forecasting based on Recurrent Neuro-Evolution is introduced. Cartesian Genetic Programming (CGP) is the algorithm deployed for the forecasting model. Recurrent Cartesian Genetic Programming evolved Artificial Neural Network (RCGPANN) is demonstrated to produce computationally efficient and accurate model for forex prediction with an accuracy of as high as 98.872% for a period of 1000 days. The approach utilizes the trends that are being followed in historical data to predict five currency rates against Australian dollar. The model is evaluated using statistical metrics and compared. The computational method outperforms the other methods particularly due to its capability to select the best possible feature in real time and the flexibility that the system provides in feature selection, connectivity pattern and network.