Analyzing predictive performance of linear models on high-frequency currency exchange rates

Analyzing predictive performance of linear models on high-frequency currency exchange rates

Abstract We generate a large number of predictive models by applying linear kernel SVR to historical currency rates’ bid data for three currency pairs obtained from high-frequency trading. The bid tick data are converted into equally spaced (1 min) data. Differences of price between the previous suc...

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Bibliographic Details
Main Authors: Chanakya Serjam, Akito Sakurai
Format: Article
Language:English
Published: World Scientific Publishing 2018-05-01
Series:Vietnam Journal of Computer Science
Subjects:
Support vector regression (SVR)
Machine learning
Currency prediction
High-frequency limit order book
Online Access:http://link.springer.com/article/10.1007/s40595-018-0108-x

Internet

http://link.springer.com/article/10.1007/s40595-018-0108-x

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