LSTM forecasting foreign exchange rates using limit order book

Katsuki Ito, Hitoshi Iima and Yoshihiro Kitamura ()

Finance Research Letters, 2022, vol. 47, issue PA

Abstract: We use long and short term memory (LSTM) to predict intraday returns in foreign exchange markets. As predictors, we use events in the limit order book. Compared to other models, our model predicts the movement of a 1-min midquote return. When we consider the bid-ask spread, this prediction does not bring economic gains. This result indicates that these events can contribute to price discovery and the studied markets efficiently set the spread.

Keywords: foreign exchange rate; limit order; LSTM (search for similar items in EconPapers)
Date: 2022
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Citations: View citations in EconPapers (1)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:finlet:v:47:y:2022:i:pa:s1544612321004827

DOI: 10.1016/j.frl.2021.102517

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