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High frequency exchange rate prediction with an artificial neural network

Choudhry, Taufiq, McGroarty, Frank, Peng, Ke and Wang, Shiyun (2012) High frequency exchange rate prediction with an artificial neural network Intelligent Systems in Accounting, Finance and Management, 19, (3), pp. 170-178.

Record type: Article

Abstract

This paper examines how market microstructure variables can be used to forecast foreign exchange rates at frequencies of one to several minutes. We use a unique foreign exchange (FX) dataset of global inter-dealer electronic transactions and applied the Artificial Neural Network (ANN) as the predicting model. The immediately preceding bid and ask prices are significant factors in these predictions, which is in keeping with market microstructure theory. These microstructure factors have not been tested in ANN model before. High frequency trading strategies based on ANN model are shown to be profitable even when transaction costs are included.

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More information

Published date: 1 July 2012
Organisations: Centre for Digital, Interactive & Data Driven Marketing

Identifiers

Local EPrints ID: 340754
URI: http://eprints.soton.ac.uk/id/eprint/340754
ISSN: 1055-615X
PURE UUID: 46fe43cf-9f59-4007-9ab3-99474d27314b

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Date deposited: 02 Jul 2012 13:28
Last modified: 11 Sep 2017 16:33

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Contributors

Author: Taufiq Choudhry
Author: Frank McGroarty
Author: Ke Peng
Author: Shiyun Wang

University divisions

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