Forex prediction engine: framework, modelling techniques and implementations
Having accurate prediction in foreign exchange (Forex) market is useful because it provides intelligent information for investment strategy. This paper studies extracted repeating patterns of historical Forex time series, so to predict future trend direction by matching the forming trend with a r...
Saved in:
| Main Authors: | , , |
|---|---|
| Format: | Article |
| Language: | English |
| Published: |
Inderscience Enterprises Ltd
2016
|
| Subjects: | |
| Online Access: | http://eprints.sunway.edu.my/639/1/Tiong%2BNgo%2BLee%202016%20Forex%20prediction%20engine_%20deposited.pdf http://eprints.sunway.edu.my/639/ http://dx.doi.org/10.1504/IJCSE.2016.10001040 |
| Tags: |
Add Tag
No Tags, Be the first to tag this record!
|
| Summary: | Having accurate prediction in foreign exchange (Forex) market is useful because it
provides intelligent information for investment strategy. This paper studies extracted repeating
patterns of historical Forex time series, so to predict future trend direction by matching the
forming trend with a repeating pattern. In the proposed Forex prediction engine, global pattern
movements over a period of time are extracted using a linear regression line (LRL) enhanced
technique, and then further segmented into what we called up and down curves. Subsequently,
the artificial neural network (ANN) is applied to classify or group the uptrend and downtrend
patterns. Finally, the dynamic time warping (DTW) is used through brute force to identify a trend
pattern similar to the current trend at least for the beginning part. The remaining part of the
matched pattern can provide predictive clues about next day trend movement. The experimental
results generated on the dataset of AUD–USD and EUR–USD currencies between 2012 and 2013
demonstrate reliable accuracy performance of 72%. |
|---|