Modeling and Trading the EUR/USD Exchange Rate Using Machine Learning Techniques
Journal Title: Engineering, Technology & Applied Science Research - Year 2012, Vol 2, Issue 5
Abstract
The present paper aims in investigating the performance of state-of-the-art machine learning techniques in trading with the EUR/USD exchange rate at the ECB fixing. For this purpose, five supervised learning classification techniques (K-Nearest Neighbors algorithm, Naïve Bayesian Classifier, Artificial Neural Networks, Support Vector Machines and Random Forests) were applied in the problem of the one day ahead movement prediction of the EUR/USD exchange rate with only autoregressive terms as inputs. For comparison reasons, the performance of all machine learning techniques was benchmarked by two traditional techniques (Naïve Strategy and moving average convergence/divergence model). Trading strategies produced by the machine learning techniques of Support Vector Machines and Random Forests clearly outperformed all other strategies in terms of annualized return and sharp ratio. To the best of our knowledge, this is the first application of Random Forests in the problem of trading with the EUR/USD exchange rate providing extremely satisfactory results.
Authors and Affiliations
K. Theofilatos, S. Likothanassis, A. Karathanasopoulos
Replacement of Coarse Aggregate with Locally Available Brick Aggregate
Due to the abundant usage of concrete as a construction material, there is a fast dwindling source of aggregates. There are regions where there is scarcity of coarse aggregate, so to resolve this problem, Bricks Aggregat...
Anti-Swing Fuzzy Controller Applied in a 3D Crane System
It is well known that fuzzy logic can be used in the control of complex systems described by highly nonlinear mathematical models. However, the main difficulty in the design of a fuzzy controller comes with the adjustmen...
Formulation of Low Peclet Number Based Grid Expansion Factor for the Solution of the Convection Diffusion Equation
Convection-diffusion problems, due to its fundamental nature, are found in various science and engineering applications. In this research, the importance of the relationship between grid structure and flow parameters in...
A Study of the Effective Lifetime of Aluminum Buckets Used in Blood Bank Centrifuges
Rotating parts of blood bank centrifuges are under heavy mechanical cyclic stresses due to their centrifugal loading conditions. Estimating the effective lifetime for these parts is very important for their application....
EgoSENSE: A Framework for Context-Aware Mobile Applications Development
This paper presents a context-aware mobile framework (or middleware), intended to support the implementation of context-aware mobile services. The overview of basic concepts, architecture and components of context-aware...