Database for Exchange Rate Problem(Episcopos and Davis (1996). Neural Networks in Financial Engineering.)
Daily observations of 5 Canadian exchange rates
(U.S. dollar, British pound, French franc, German mark, Japanese yen)
744 observations covering 1/2/92 to 12/15/94
Rt=100 log(yt/yt-1) where yt is daily “spot price”
“Training Data” and “Test Data”
- 694 observations used for parameter estimation (“training”)
- Last 50 observations used for “Holdout Sample” (“test data”)