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Tekijä:Dunis, C.L.
Laws, J.
Sermpinis, G.
Otsikko:Modelling and trading the EUR/USD exchange rate at the ECB fixing
Lehti:European Journal of Finance
2010 : JUL-SEP, VOL. 16:5-6, p. 541-560
Asiasana:neural networks
perception
trading
quantitative techniques
euro
dollars
exchange rates
European central bank
Vapaa asiasana:confirmation filters
higher-order neural networks
Psi Sigma networks
recurrent neural networks
leverage
multi-layer perception networks
quantitative trading strategies
Kieli:eng
Tiivistelmä:Based on the European Central Bank (ECB) fixing series with only auto-regressive terms as inputs and by benchmarking four different NN designs representing a higher-order neural network (HONN), a Psi Sigma Network and a recurrent neural network with the classic multilayer perception (MLP) and some traditional techniques. The article uses the EUR/USD daily fixing by the ECB as many financial institutions are ready to trade at this level and it is therefore possible to leave orders with a bank for business to be transacted on that basis and suggests the MLP does remarkably well and outperforms all other models in a simple trading simulation exercise. However, when more sophisticated trading strategies using confirmation filters and leverage are applied, the HONN network produces better results and outperforms all other NN and traditional statistical models in terms of annualized return.
SCIMA tietueen numero: 272507
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