MATEC Web Conf.
Volume 68, 20162016 The 3rd International Conference on Industrial Engineering and Applications (ICIEA 2016)
|Number of page(s)||5|
|Section||Applications in Finance|
|Published online||01 August 2016|
Forex Market Prediction Using NARX Neural Network with Bagging
1 Department of Electrical Engineering and Computer Science, York University, Canada
2 Department of Mathematics, Tehran University, Iran
We propose a new methodfor predicting movements in Forex market based on NARX neural network withtime shifting bagging techniqueand financial indicators, such as relative strength index and stochastic indicators. Neural networks have prominent learning ability but they often exhibit bad and unpredictable performance for noisy data. When compared with the static neural networks, our method significantly reducesthe error rate of the responseandimproves the performance of the prediction. We tested three different types ofarchitecture for predicting the response and determined the best network approach. We applied our method to prediction the hourly foreign exchange rates and found remarkable predictability in comprehensive experiments with 2 different foreign exchange rates (GBPUSD and EURUSD).
© The Authors, published by EDP Sciences, 2016
This is an Open Access article distributed under the terms of the Creative Commons Attribution License 4.0, which permits unrestricted use, distribution, and reproduction in any medium, provided the original work is properly cited.
Current usage metrics show cumulative count of Article Views (full-text article views including HTML views, PDF and ePub downloads, according to the available data) and Abstracts Views on Vision4Press platform.
Data correspond to usage on the plateform after 2015. The current usage metrics is available 48-96 hours after online publication and is updated daily on week days.
Initial download of the metrics may take a while.