An application of SVMs to predict financial exchange rate by using sentiment indicators

Núria Agell Jané, José Antonio Sanabria Montañez, German Sánchez Hernández, Josep Sayeras Maspera

Research output: Conference paperContribution

Abstract

This paper analyses, through the use of Support Vector Machines (SVM), the impact that the economic sentiment indicator variable known as ESI has on a model's forecasting accuracy when it comes to currency exchange rate prediction. The study has been carried out either using exponential or simple moving averages. Weekly currency exchange rate between the European euro and some major currencies have been considered. The results obtained show that the proposed indicator can significantly impact the model's forecasting performance compared to traditional models where no qualitative information is incorporated.
Original languageEnglish
Publication statusPublished - 7 Aug 2010
EventV Simposio de Teoría y Aplicaciones de Minería de Datos, Valencia 2010 -
Duration: 7 Aug 201010 Aug 2010

Conference

ConferenceV Simposio de Teoría y Aplicaciones de Minería de Datos, Valencia 2010
Period7/08/1010/08/10

Fingerprint

Dive into the research topics of 'An application of SVMs to predict financial exchange rate by using sentiment indicators'. Together they form a unique fingerprint.

Cite this