The global financial and economic market is now made up of several structures that are powerful and complex.In the last few decades,a few techniques and theories have been implemented that have revolutionized the unde...The global financial and economic market is now made up of several structures that are powerful and complex.In the last few decades,a few techniques and theories have been implemented that have revolutionized the understanding of those systems to forecast financial markets based on time series analysis.However still,none has been shown to function successfully consistently.In this project,a special form of Neural Network Modeling called LSTM to forecast the foreign exchange rate of currencies.In several different forecasting applications,this method of modelling has become popular as it can be defined complex non-linear relationships between variables and the outcome it wishes to predict.In compare to the stock market,exchange rates tend to be more relevant due to the availability of macroeconomic data that can be used to train the network to learn the impact of particular variables on the rate to be predicted.The information was collected using Quandl,an economic and financial platform that offers quantitative indicators for a wide variety of countries.Model is compared with three different metrics by exponential moving average and an autoregressive integrated moving average.then compare and validate the ability of the model to reliably predict future values and compare which of the models predicted the most correctly.展开更多
Online prediction is a process that repeatedly predicts the next element in the coming period from a sequence of given previous elements. This process has a broad range of applications in various areas, such as medica...Online prediction is a process that repeatedly predicts the next element in the coming period from a sequence of given previous elements. This process has a broad range of applications in various areas, such as medical, streaming media, and finance. The greatest challenge for online prediction is that the sequence data may not have explicit features because the data is frequently updated, which means good predictions are difficult to maintain. One of the popular solutions is to make the prediction with expert advice, and the challenge is to pick the right experts with minimum cumulative loss. In this research, we use the forex trading prediction, which is a good example for online prediction, as a case study. We also propose an improved expert selection model to select a good set of forex experts by learning previously observed sequences. Our model considers not only the average mistakes made by experts, but also the average profit earned by experts, to achieve a better performance, particularly in terms of financial profit. We demonstrate the merits of our model on two real major currency pairs corpora with extensive experiments.展开更多
文摘The global financial and economic market is now made up of several structures that are powerful and complex.In the last few decades,a few techniques and theories have been implemented that have revolutionized the understanding of those systems to forecast financial markets based on time series analysis.However still,none has been shown to function successfully consistently.In this project,a special form of Neural Network Modeling called LSTM to forecast the foreign exchange rate of currencies.In several different forecasting applications,this method of modelling has become popular as it can be defined complex non-linear relationships between variables and the outcome it wishes to predict.In compare to the stock market,exchange rates tend to be more relevant due to the availability of macroeconomic data that can be used to train the network to learn the impact of particular variables on the rate to be predicted.The information was collected using Quandl,an economic and financial platform that offers quantitative indicators for a wide variety of countries.Model is compared with three different metrics by exponential moving average and an autoregressive integrated moving average.then compare and validate the ability of the model to reliably predict future values and compare which of the models predicted the most correctly.
基金This work was supported by the Natural Science Foundation of Guangdong Province, China （2015A030310509）, the National Natural Science Foundation of China （Grant Nos. 61370229, 61272067, 61303049）, the S＆T Planning Key Projects of Guangdong Province （2014B010117007, 2015B010109003, 2015A030401087, 2016A030303055, 2016B030305004, and 2016B010109008） and the S＆T Projects of Guangzhou Municipality, China （201604010003）.
文摘Online prediction is a process that repeatedly predicts the next element in the coming period from a sequence of given previous elements. This process has a broad range of applications in various areas, such as medical, streaming media, and finance. The greatest challenge for online prediction is that the sequence data may not have explicit features because the data is frequently updated, which means good predictions are difficult to maintain. One of the popular solutions is to make the prediction with expert advice, and the challenge is to pick the right experts with minimum cumulative loss. In this research, we use the forex trading prediction, which is a good example for online prediction, as a case study. We also propose an improved expert selection model to select a good set of forex experts by learning previously observed sequences. Our model considers not only the average mistakes made by experts, but also the average profit earned by experts, to achieve a better performance, particularly in terms of financial profit. We demonstrate the merits of our model on two real major currency pairs corpora with extensive experiments.
