Time series analysis can be used in a multitude of business applications for forecasting a quantity into the future and explaining its historical patterns. Exchange rate is the currency rate of one country expressed in terms of the currency of another country.
In the modern world, exchange rates of the most successful countries are tending to be floating. This system is set by the foreign exchange market over supply and demand for that particular currency in relation to the other currencies. Exchange rate prediction is one of the challenging applications of modern time series forecasting and very important for the success of many businesses and financial institutions.
In this forecasting part I used an MLP-NN to predict the next step-ahead exchange rate of USD/EUR. exchangeUSD.xls data file includes daily data collected from October 2011 until October 2013 (500 data). The first 400 of them used as training data and the remaining ones used as testing set.