Integrated model of multiple kernel learning and differential evolution for EUR/USD trading

Shangkun Deng, Akito Sakurai

研究成果: Article査読

5 被引用数 (Scopus)

抄録

Currency trading is an important area for individual investors, government policy decisions, and organization investments. In this study, we propose a hybrid approach referred to as MKL-DE, which combines multiple kernel learning (MKL) with differential evolution (DE) for trading a currency pair. MKL is used to learn a model that predicts changes in the target currency pair, whereas DE is used to generate the buy and sell signals for the target currency pair based on the relative strength index (RSI), while it is also combined with MKL as a trading signal. The new hybrid implementation is applied to EUR/USD trading, which is the most traded foreign exchange (FX) currency pair. MKL is essential for utilizing information from multiple information sources and DE is essential for formulating a trading rule based on a mixture of discrete structures and continuous parameters. Initially, the prediction model optimized by MKL predicts the returns based on a technical indicator called the moving average convergence and divergence. Next, a combined trading signal is optimized by DE using the inputs from the prediction model and technical indicator RSI obtained from multiple timeframes. The experimental results showed that trading using the prediction learned by MKL yielded consistent profits.

本文言語English
論文番号914641
ジャーナルScientific World Journal
2014
DOI
出版ステータスPublished - 2014
外部発表はい

ASJC Scopus subject areas

  • 生化学、遺伝学、分子生物学(全般)
  • 環境科学(全般)

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