Event-Driven LSTM For Forex Price Prediction

Ling Qi, Matloob Khushi and Josiah Poon

Papers from arXiv.org

Abstract: The majority of studies in the field of AI guided financial trading focus on purely applying machine learning algorithms to continuous historical price and technical analysis data. However, due to non-stationary and high volatile nature of Forex market most algorithms fail when put into real practice. We developed novel event-driven features which indicate a change of trend in direction. We then build long deep learning models to predict a retracement point providing a perfect entry point to gain maximum profit. We use a simple recurrent neural network (RNN) as our baseline model and compared with short-term memory (LSTM), bidirectional long short-term memory (BiLSTM) and gated recurrent unit (GRU). Our experiment results show that the proposed event-driven feature selection together with the proposed models can form a robust prediction system which supports accurate trading strategies with minimal risk. Our best model on 15-minutes interval data for the EUR/GBP currency achieved RME 0.006x10^(-3) , RMSE 2.407x10^(-3), MAE 1.708x10^(-3), MAPE 0.194% outperforming previous studies.

Date: 2021-01
New Economics Papers: this item is included in nep-big and nep-cmp
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Published in 2020 IEEE Asia-Pacific Conference on Computer Science and Data Engineering (CSDE), Gold Coast, QLD, Australia, 16-18 December 2020

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