TY - GEN
T1 - A boost in exchange rate forecasting
T2 - Qualitative variables, technical indicators and parameters selection
AU - Sanabria, José Antonio
AU - Sánchez, Germán
AU - Agell, N.
PY - 2009
Y1 - 2009
N2 - This paper tries to determine, through the use of Support Vector Machines (SVM), the impact that technical indicators, a qualitative variable and the choice of free parameters selection have on a model's forecasting performance, power and accuracy applied to currency exchange rate prediction. This approach was applied to the weekly currency exchange rate between the European euro andc the US dollar. The results obtained show that the proposed factors can significantly impact the model's forecasting performance compared to traditional models where no qualitative information is incorporated.
AB - This paper tries to determine, through the use of Support Vector Machines (SVM), the impact that technical indicators, a qualitative variable and the choice of free parameters selection have on a model's forecasting performance, power and accuracy applied to currency exchange rate prediction. This approach was applied to the weekly currency exchange rate between the European euro andc the US dollar. The results obtained show that the proposed factors can significantly impact the model's forecasting performance compared to traditional models where no qualitative information is incorporated.
KW - Economic sentiment indicator
KW - Exchange rate forecasting
KW - Exponential moving averages
KW - Kernel functions
KW - Simple moving averages
KW - Support vector machines
UR - https://www.scopus.com/pages/publications/72749112353
U2 - 10.3233/978-1-60750-061-2-310
DO - 10.3233/978-1-60750-061-2-310
M3 - Conference contribution
AN - SCOPUS:72749112353
SN - 9781607500612
T3 - Frontiers in Artificial Intelligence and Applications
SP - 310
EP - 317
BT - Frontiers in Artificial Intelligence and Applications
PB - IOS Press
ER -