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Artificial Neural Network and high frequency exchange rate prediction

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.
CBFSD-08-19
University of Southampton
Choudhry, T.
6fc3ceb8-8103-4017-b3b5-2d38efa57728
McGroarty, F.
693a5396-8e01-4d68-8973-d74184c03072
Peng, K.
193b3804-dd33-4d08-a06a-d5c5f5bf0529
Wang, S.
a2223997-9f42-425b-b0c6-1bcb64d9b8fc
Choudhry, T.
6fc3ceb8-8103-4017-b3b5-2d38efa57728
McGroarty, F.
693a5396-8e01-4d68-8973-d74184c03072
Peng, K.
193b3804-dd33-4d08-a06a-d5c5f5bf0529
Wang, S.
a2223997-9f42-425b-b0c6-1bcb64d9b8fc

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.

Full text not available from this repository.

More information

Published date: 2008

Identifiers

Local EPrints ID: 64209
URI: https://eprints.soton.ac.uk/id/eprint/64209
PURE UUID: 20b547c0-f3b6-49c9-8499-f015a98c84da
ORCID for T. Choudhry: ORCID iD orcid.org/0000-0002-0463-0662
ORCID for F. McGroarty: ORCID iD orcid.org/0000-0003-2962-0927

Catalogue record

Date deposited: 13 Jan 2009
Last modified: 24 Jul 2019 00:36

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