Higher order and recurrent neural architectures for trading the EUR/USD exchange rate
Author
Abstract
Suggested Citation
DOI: 10.1080/14697680903386348
Download full text from publisher
As the access to this document is restricted, you may want to search for a different version of it.
References listed on IDEAS
- Shapiro, Arnold F., 2000. "A Hitchhiker's guide to the techniques of adaptive nonlinear models," Insurance: Mathematics and Economics, Elsevier, vol. 26(2-3), pages 119-132, May.
- C. L. Dunis & Jason Laws & Ben Evans, 2006. "Trading futures spreads: an application of correlation and threshold filters," Applied Financial Economics, Taylor & Francis Journals, vol. 16(12), pages 903-914.
- Dunis, Christian L & Huang, Xuehuan, 2002. "Forecasting and Trading Currency Volatility: An Application of Recurrent Neural Regression and Model Combination," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 21(5), pages 317-354, August.
- Mark Austin & Graham Bates & Michael Dempster & Vasco Leemans & Stacy Williams, 2004. "Adaptive systems for foreign exchange trading," Quantitative Finance, Taylor & Francis Journals, vol. 4(4), pages 37-45.
- Andreas Lindemann & Christian Dunis & Paulo Lisboa, 2005. "Probability distributions and leveraged trading strategies: an application of Gaussian mixture models to the Morgan Stanley Technology Index Tracking Fund," Quantitative Finance, Taylor & Francis Journals, vol. 5(5), pages 459-474.
Citations
Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
Cited by:
- Lukas Ryll & Sebastian Seidens, 2019. "Evaluating the Performance of Machine Learning Algorithms in Financial Market Forecasting: A Comprehensive Survey," Papers 1906.07786, arXiv.org, revised Jul 2019.
- Christian L. Dunis & Jason Laws & Andreas Karathanassopoulos, 2011. "Modelling and trading the Greek stock market with mixed neural network models," Applied Financial Economics, Taylor & Francis Journals, vol. 21(23), pages 1793-1808, December.
- Filipa Fernandes & Charalampos Stasinakis & Zivile Zekaite, 2019. "Forecasting government bond spreads with heuristic models: evidence from the Eurozone periphery," Annals of Operations Research, Springer, vol. 282(1), pages 87-118, November.
- Zuzana Rowland & George Lazaroiu & Ivana Podhorská, 2020. "Use of Neural Networks to Accommodate Seasonal Fluctuations When Equalizing Time Series for the CZK/RMB Exchange Rate," Risks, MDPI, vol. 9(1), pages 1-21, December.
Most related items
These are the items that most often cite the same works as this one and are cited by the same works as this one.- Sermpinis, Georgios & Stasinakis, Charalampos & Dunis, Christian, 2014. "Stochastic and genetic neural network combinations in trading and hybrid time-varying leverage effects," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 30(C), pages 21-54.
- Athanasia Gavala & Nikolay Gospodinov & Deming Jiang, 2006. "Forecasting volatility," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 25(6), pages 381-400.
- Daniela Spiesová, 2014. "The Prediction of Exchange Rates with the Use of Auto-Regressive Integrated Moving-Average Models," Acta Universitatis Danubius. OEconomica, Danubius University of Galati, issue 10(5), pages 28-38, October.
- Tseng, Chih-Hsiung & Cheng, Sheng-Tzong & Wang, Yi-Hsien & Peng, Jin-Tang, 2008. "Artificial neural network model of the hybrid EGARCH volatility of the Taiwan stock index option prices," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 387(13), pages 3192-3200.
- Preminger, Arie & Franck, Raphael, 2007.
"Forecasting exchange rates: A robust regression approach,"
International Journal of Forecasting, Elsevier, vol. 23(1), pages 71-84.
- PREMINGER, Arie & FRANCK, Raphael, 2005. "Forecasting exchange rates: a robust regression approach," LIDAM Discussion Papers CORE 2005025, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
- PREMINGER, Arie & FRANCK, Raphael, 2007. "Forecasting exchange rates: a robust regression approach," LIDAM Reprints CORE 1917, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
- Shiyi Chen & Wolfgang K. Härdle & Kiho Jeong, 2010. "Forecasting volatility with support vector machine-based GARCH model," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 29(4), pages 406-433.
- G'abor Petneh'azi & J'ozsef G'all, 2018. "Exploring the predictability of range-based volatility estimators using RNNs," Papers 1803.07152, arXiv.org.
- Alejandro Parot & Kevin Michell & Werner D. Kristjanpoller, 2019. "Using Artificial Neural Networks to forecast Exchange Rate, including VAR‐VECM residual analysis and prediction linear combination," Intelligent Systems in Accounting, Finance and Management, John Wiley & Sons, Ltd., vol. 26(1), pages 3-15, January.
- Dunis, Christian & Kellard, Neil M. & Snaith, Stuart, 2013. "Forecasting EUR–USD implied volatility: The case of intraday data," Journal of Banking & Finance, Elsevier, vol. 37(12), pages 4943-4957.
- Christos Avdoulas & Stelios Bekiros & Sabri Boubaker, 2018. "Evolutionary-based return forecasting with nonlinear STAR models: evidence from the Eurozone peripheral stock markets," Annals of Operations Research, Springer, vol. 262(2), pages 307-333, March.
- Kampouridis, Michael & Chen, Shu-Heng & Tsang, Edward, 2012. "Market fraction hypothesis: A proposed test," International Review of Financial Analysis, Elsevier, vol. 23(C), pages 41-54.
- Victor Lebreton, 2007.
"Le trading algorithmique,"
Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers)
hal-00332823, HAL.
- Victor Lebreton, 2008. "Le trading algorithmique," Papers 0810.4000, arXiv.org, revised Mar 2009.
- Andreas Lindemann & Christian Dunis & Paulo Lisboa, 2005. "Probability distributions and leveraged trading strategies: an application of Gaussian mixture models to the Morgan Stanley Technology Index Tracking Fund," Quantitative Finance, Taylor & Francis Journals, vol. 5(5), pages 459-474.
- Jammazi, Rania & Aloui, Chaker, 2012. "Crude oil price forecasting: Experimental evidence from wavelet decomposition and neural network modeling," Energy Economics, Elsevier, vol. 34(3), pages 828-841.
- Andreas Karathanasopoulos, 2017. "Modelling and trading the London, New York and Frankfurt stock exchanges with a new gene expression programming trader tool," Intelligent Systems in Accounting, Finance and Management, John Wiley & Sons, Ltd., vol. 24(1), pages 3-11, January.
- Krauss, Christopher, 2015. "Statistical arbitrage pairs trading strategies: Review and outlook," FAU Discussion Papers in Economics 09/2015, Friedrich-Alexander University Erlangen-Nuremberg, Institute for Economics.
- Kellard, Neil & Sarantis, Nicholas, 2008. "Can exchange rate volatility explain persistence in the forward premium?," Journal of Empirical Finance, Elsevier, vol. 15(4), pages 714-728, September.
- Fu, Sibao & Li, Yongwu & Sun, Shaolong & Li, Hongtao, 2019. "Evolutionary support vector machine for RMB exchange rate forecasting," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 521(C), pages 692-704.
- Shin, Ki-Hong & Baek, Woonhak & Kim, Kyungsik & You, Cheol-Hwan & Chang, Ki-Ho & Lee, Dong-In & Yum, Seong Soo, 2019. "Neural network and regression methods for optimizations between two meteorological factors," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 523(C), pages 778-796.
- Andreas Karatahansopoulos & Georgios Sermpinis & Jason Laws & Christian Dunis, 2014. "Modelling and Trading the Greek Stock Market with Gene Expression and Genetic Programing Algorithms," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 33(8), pages 596-610, December.
More about this item
Keywords
Quantitative trading strategies; Volatility modelling; Risk management; Options volatility;All these keywords.
Statistics
Access and download statisticsCorrections
All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:taf:quantf:v:11:y:2010:i:4:p:615-629. See general information about how to correct material in RePEc.
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Chris Longhurst (email available below). General contact details of provider: http://www.tandfonline.com/RQUF20 .
Please note that corrections may take a couple of weeks to filter through the various RePEc services.