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A two\u2010step procedure is proposed to construct suitable networks, in which networks are selected based on the predictive stochastic complexity (PSC) criterion, and the selected networks are estimated using both recursive Newton algorithms and the method of nonlinear least squares. Our results show that PSC is a sensible criterion for selecting networks and for certain exchange rate series, some selected network models have significant market timing ability and\/or significantly lower out\u2010of\u2010sample mean squared prediction error relative to the random walk model.<\/jats:p>","DOI":"10.1002\/jae.3950100403","type":"journal-article","created":{"date-parts":[[2007,7,12]],"date-time":"2007-07-12T17:52:56Z","timestamp":1184262776000},"page":"347-364","source":"Crossref","is-referenced-by-count":251,"title":["Forecasting exchange rates using feedforward and recurrent neural networks"],"prefix":"10.1002","volume":"10","author":[{"given":"Chung\u2010Ming","family":"Kuan","sequence":"first","affiliation":[],"role":[{"vocabulary":"crossref","role":"author"}]},{"given":"Tung","family":"Liu","sequence":"additional","affiliation":[],"role":[{"vocabulary":"crossref","role":"author"}]}],"member":"311","published-online":{"date-parts":[[2006,11,7]]},"reference":[{"key":"e_1_2_1_2_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1989.tb02410.x"},{"key":"e_1_2_1_3_1","volume-title":"The Foreign Exchange Market: Theory and Econometric Evidence","author":"Baillie R. 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