Statistical and Machine Learning approach in forex prediction based on empirical data

Abstract

This study proposed a new insight in comparing common methods used in predicting based on data series i.e statistical method and machine learning. The corresponding techniques are use in predicting Forex (Foreign Exchange) rates. The Statistical method used in this paper is Adaptive Spline Threshold Autoregression (ASTAR), while for machine learning, Support Vector Machine (SVM) and hybrid form of Genetic Algorithm-Neural Network (GA-NN) are chosen. The comparison among the three methods accurate rate is measured in root mean squared error (RMSE). It is found that ASTAR and GA-NN method has advantages depend on the period time intervals.

Access to Document

Other files and links

• Link to publication in Scopus

Fingerprint