Simulation of ECB decisions and forecast of short term Euro rate with an adaptive fuzzy expert system

摘要: Abstract The elaboration of optimal monetary policy strategies, and the statistical estimation rules followed by European Central Bank (ECB) in new currency area Euro, are difficult to follow with standard models. For this reason we have developed an adaptive fuzzy expert system order mimic framework on which strategy ECB is based. knowledge base consists a set crisp located at two different hierarchical levels. high-level receives some intermediate output values from low-level processes information means rules. prepares these use inference engine applied economic input variables. allows for modelling behaviour wider scope knowledge, when compared more traditional computational techniques. Rules levels intra-level groups, allow managing potentially contradictory structure strategy. has been tested financial time series going January 1999 September 2000. system’s correct prediction was estimated overall 70% and, considering complexity task, results obtained promising.