ANN Models and Bayesian Spline Models for Analysis of Exchange Rates and Gold Price

Ozer Ozdemir (), Memmedaga Memmedli () and Akhlitdin Nizamitdinov ()
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Ozer Ozdemir: Anadolu University, Faculty of Science, Department of Statistics.
Memmedaga Memmedli: Anadolu University, Faculty of Science, Department of Statistics.
Akhlitdin Nizamitdinov: Anadolu University, Faculty of Science, Department of Statistics

International Econometric Review (IER), 2013, vol. 5, issue 2, 53-69

Abstract: ANN (Artificial Neural Network) models and Spline techniques have been applied to economic analysis, to handle economic problems, evaluate portfolio risk and stock performance, and to forecast stock exchange rates and gold prices. These techniques are improving nowadays and continue to serve as powerful predictive tools. In this study, we compare the performance of ANN models and Bayesian Spline models in forecasting economic datasets. We consider the most commonly used ANN models, which are Generalized Regression Neural Networks (GRNN), Multilayer Perceptron (MLP), and Radial Basis Function Neural Networks (RBFNN). We compare these models using BayesX and Statistica software with three important economic datasets: on the exchange rate of Turkish Liras (TL) to Euro, exchange rate of Turkish Liras (TL) to United States Dollars (USD), and Gold Price for Turkey. With these three economic datasets, we made a comparative study of these models, using the criterions MSE and MAPE to evaluate their forecasting performance. The results demonstrate that the penalized spline model performed best amongst the spline techniques and their Bayesian versions. Amongst the ANN models, the MLP model obtained the best performance criterion results.

Keywords: Artificial Neural Networks; Bayesian Spline Models; Exchange Rates (search for similar items in EconPapers)
JEL-codes: C11 C45 C53 (search for similar items in EconPapers)
Date: 2013
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