Artificial Neural Network and high frequency exchange rate prediction
Artificial Neural Network and high frequency exchange rate prediction
This paper shows that the Artificial Neural Network (ANN) model does a good job in predicting very high frequency return in the currency market. The previous bid and ask prices are significant factors in the predictions.
University of Southampton
Choudhry, T.
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McGroarty, F.
693a5396-8e01-4d68-8973-d74184c03072
Peng, K.
193b3804-dd33-4d08-a06a-d5c5f5bf0529
Wang, S.
8bce5bdb-420c-4b22-b009-8f4ce1febaa8
2008
Choudhry, T.
6fc3ceb8-8103-4017-b3b5-2d38efa57728
McGroarty, F.
693a5396-8e01-4d68-8973-d74184c03072
Peng, K.
193b3804-dd33-4d08-a06a-d5c5f5bf0529
Wang, S.
8bce5bdb-420c-4b22-b009-8f4ce1febaa8
Choudhry, T., McGroarty, F., Peng, K. and Wang, S.
(2008)
Artificial Neural Network and high frequency exchange rate prediction
(Discussion Papers in Centre for Banking, Finance and Sustainable Development, CBFSD-08-19)
Southampton, UK.
University of Southampton
Record type:
Monograph
(Discussion Paper)
Abstract
This paper shows that the Artificial Neural Network (ANN) model does a good job in predicting very high frequency return in the currency market. The previous bid and ask prices are significant factors in the predictions.
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Published date: 2008
Identifiers
Local EPrints ID: 64209
URI: http://eprints.soton.ac.uk/id/eprint/64209
PURE UUID: 20b547c0-f3b6-49c9-8499-f015a98c84da
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Date deposited: 13 Jan 2009
Last modified: 05 Oct 2022 01:39
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Contributors
Author:
F. McGroarty
Author:
K. Peng
Author:
S. Wang
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