Directional Forecasting in Financial Time Series Using Support Vector Machines: The USD/EURO Exchange Rate
15 Pages Posted: 31 Jan 2014
Date Written: November 10, 2011
In this paper, we present a novel machine learning based forecasting system of the EUR/USD exchange rate directional changes. Specifically, we feed an overcomplete variable set to a Support Vector Machines (SVM) model and refine it through a Sensitivity Analysis process. The dataset spans from 1/1/1999 to 30/11/2011; the data of the last 7 months are reserved for out-of-sample testing. Results show that the proposed scheme outperforms various other machine learning methods treating similar scenarios.
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