Work detail

Neural Networks for Machine Learning in Algorithmic Trading

Author: Bc. David Koubek
Year: 2018 - summer
Leaders: prof. PhDr. Ladislav Krištoufek Ph.D.
Consultants:
Work type: Bachelors
Language: English
Pages: 58
Awards and prizes:
Link: https://is.cuni.cz/webapps/zzp/detail/185465/
Abstract: This thesis investigates the forecasting ability of the artificial neural network (ANN)
models on five major currency pairs and compares the accuracy of several ANN architectures
to the difficult to outperform random walk (RW) benchmark. The ANNs
mostly stand ground against the RW, yet fail to attain significantly different results
for most of the currencies in out-of-sample testing. A good predictive accuracy of a
few ANN models was shown only for the Japanese yen in our results. Less complex
neural network architectures supported the notion of having better generalisation
capabilities for most of our datasets.

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