Currency Forecasting using Multiple Kernel Learning with Financially Motivated Features
AbstractMultiple Kernel Learning (MKL) is used to replicate the signal combination process that trading rules embody when they aggregate multiple sources of financial information when predicting an asset's price movements. A set of financially motivated kernels is constructed for the EURUSD currency pair and is used to predict the direction of price movement for the currency over multiple time horizons. MKL is shown to outperform each of the kernels individually in terms of predictive accuracy. Furthermore, the kernel weightings selected by MKL highlights which of the financial features represented by the kernels are the most informative for predictive tasks.
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Bibliographic InfoPaper provided by arXiv.org in its series Papers with number 1011.6097.
Date of creation: Nov 2010
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Web page: http://arxiv.org/
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