کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
963920 | 1479117 | 2014 | 34 صفحه PDF | دانلود رایگان |
• We apply six models in a forecasting and trading exercise.
• The utility of five forecast combination techniques is explored.
• A hybrid leverage factor based is introduced.
• A fitness function for NN in trading application is introduced.
The motivation of this paper is 3-fold. Firstly, we apply a Multi-Layer Perceptron (MLP), a Recurrent Neural Network (RNN) and a Psi-Sigma Network (PSN) architecture in a forecasting and trading exercise on the EUR/USD, EUR/GBP and EUR/CHF exchange rates and explore the utility of Kalman Filter, Genetic Programming (GP) and Support Vector Regression (SVR) algorithms as forecasting combination techniques. Secondly, we introduce a hybrid leverage factor based on volatility forecasts and market shocks and study if its application improves the trading performance of our models. Thirdly, we introduce a specialized loss function for Neural Networks (NNs) in financial applications. In terms of our results, the PSN from the individual forecasts and the SVR from our forecast combination techniques outperform their benchmarks in statistical accuracy and trading efficiency. We also note that our trading strategy is successful, as it increased the trading performance of most of our models, while our NNs loss function seems promising.
Journal: Journal of International Financial Markets, Institutions and Money - Volume 30, May 2014, Pages 21–54