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Forecasting and trading the EUR/USD exchange rate with Gene Expression and Psi Sigma Neural Networks

Sermpinis, G., Laws, J., Karathanasopoulos, A., and Dunis, C.L. (2012) Forecasting and trading the EUR/USD exchange rate with Gene Expression and Psi Sigma Neural Networks. Expert Systems with Applications, 39 (10). pp. 8865-8877. ISSN 0957-4174 (doi:10.1016/j.eswa.2012.02.022)

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Abstract

The motivation for this paper is to investigate the use of two promising classes of artificial intelligence models, the PsiSigmaNeuralNetwork (PSI) and the GeneExpression algorithm (GEP), when applied to the task of forecasting and trading the EUR/USDexchangerate. This is done by benchmarking their results with a Multi-Layer Perceptron (MLP), a Recurrent NeuralNetwork (RNN), a genetic programming algorithm (GP), an autoregressive moving average model (ARMA) plus a naïve strategy. We also examine if the introduction of a time-varying leverage strategy can improve the trading performance of our models.

Item Type:Article
Status:Published
Refereed:Yes
Glasgow Author(s):Sermpinis, Dr Georgios
Authors: Sermpinis, G., Laws, J., Karathanasopoulos, A., and Dunis, C.L.
College/School:College of Social Sciences > Adam Smith Business School > Economics
Journal Name:Expert Systems with Applications
ISSN:0957-4174
ISSN (Online):1873-6793
Published Online:22 February 2012

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