Algo-Trading Strategy for Intraweek Foreign Exchange Speculation Based on Random Forest and Probit Regression
المؤلفون المشاركون
Chihab, Younes
Bousbaa, Zineb
Chihab, Marouane
Bencharef, Omar
Ziti, Soumia
المصدر
Applied Computational Intelligence and Soft Computing
العدد
المجلد 2019، العدد 2019 (31 ديسمبر/كانون الأول 2019)، ص ص. 1-13، 13ص.
الناشر
Hindawi Publishing Corporation
تاريخ النشر
2019-08-27
دولة النشر
مصر
عدد الصفحات
13
التخصصات الرئيسية
تكنولوجيا المعلومات وعلم الحاسوب
الملخص EN
In the Forex market, the price of the currencies increases and decreases rapidly based on many economic and political factors such as commercial balance, the growth index, the inflation rate, and the employment indicators.
Having a good strategy to buy and sell can make a profit from the above changes.
A successful strategy in Forex should take into consideration the relation between benefits and risks.
In this work, we propose an intraweek foreign exchange speculation strategy for currency markets based on a combination of technical indicators.
This system has a two-level decision and is composed of the Probit regression model and rules discovery using Random Forest.
There are two minimum requirements for a trading strategy: a rule to enter the market and a rule to exit it.
Our proposed system, to enter the currency market, should validate two conditions.
First, it should validate Random Forest access rules over the following week while in the second one the predicted value of the next day using Probit should be positive.
To exit the currency market just one negative warning from Probit or Random Forest is enough.
This system was used to develop dynamic portfolio trading systems.
The profitability of the model was examined for USD/(EUR, JYN, BRP) variation within the period from January 2014 to January 2016.
The proposed system allows improving the prediction accuracy.
This indicates a good prediction of the behavior market and it helps to identify the good times to enter it or to leave it.
نمط استشهاد جمعية علماء النفس الأمريكية (APA)
Chihab, Younes& Bousbaa, Zineb& Chihab, Marouane& Bencharef, Omar& Ziti, Soumia. 2019. Algo-Trading Strategy for Intraweek Foreign Exchange Speculation Based on Random Forest and Probit Regression. Applied Computational Intelligence and Soft Computing،Vol. 2019, no. 2019, pp.1-13.
https://search.emarefa.net/detail/BIM-1117611
نمط استشهاد الجمعية الأمريكية للغات الحديثة (MLA)
Chihab, Younes…[et al.]. Algo-Trading Strategy for Intraweek Foreign Exchange Speculation Based on Random Forest and Probit Regression. Applied Computational Intelligence and Soft Computing No. 2019 (2019), pp.1-13.
https://search.emarefa.net/detail/BIM-1117611
نمط استشهاد الجمعية الطبية الأمريكية (AMA)
Chihab, Younes& Bousbaa, Zineb& Chihab, Marouane& Bencharef, Omar& Ziti, Soumia. Algo-Trading Strategy for Intraweek Foreign Exchange Speculation Based on Random Forest and Probit Regression. Applied Computational Intelligence and Soft Computing. 2019. Vol. 2019, no. 2019, pp.1-13.
https://search.emarefa.net/detail/BIM-1117611
نوع البيانات
مقالات
لغة النص
الإنجليزية
الملاحظات
Includes bibliographical references
رقم السجل
BIM-1117611
قاعدة معامل التأثير والاستشهادات المرجعية العربي "ارسيف Arcif"
أضخم قاعدة بيانات عربية للاستشهادات المرجعية للمجلات العلمية المحكمة الصادرة في العالم العربي
تقوم هذه الخدمة بالتحقق من التشابه أو الانتحال في الأبحاث والمقالات العلمية والأطروحات الجامعية والكتب والأبحاث باللغة العربية، وتحديد درجة التشابه أو أصالة الأعمال البحثية وحماية ملكيتها الفكرية. تعرف اكثر