Clustering and attention model based for Intelligent Trading
- URL: http://arxiv.org/abs/2107.06782v1
- Date: Tue, 6 Jul 2021 19:35:13 GMT
- Title: Clustering and attention model based for Intelligent Trading
- Authors: Mimansa Rana, Nanxiang Mao, Ming Ao, Xiaohui Wu, Poning Liang and
Matloob Khushi
- Abstract summary: The foreign exchange market has become a hot issue studied by scholars from all over the world.
Our team chose several pairs of foreign currency historical data and derived technical indicators from 2005 to 2021 as the dataset.
We established different machine learning models for event-driven price prediction for oversold scenario.
- Score: 0.7854401572529068
- License: http://creativecommons.org/licenses/by/4.0/
- Abstract: The foreign exchange market has taken an important role in the global
financial market. While foreign exchange trading brings high-yield
opportunities to investors, it also brings certain risks. Since the
establishment of the foreign exchange market in the 20th century, foreign
exchange rate forecasting has become a hot issue studied by scholars from all
over the world. Due to the complexity and number of factors affecting the
foreign exchange market, technical analysis cannot respond to administrative
intervention or unexpected events. Our team chose several pairs of foreign
currency historical data and derived technical indicators from 2005 to 2021 as
the dataset and established different machine learning models for event-driven
price prediction for oversold scenario.
Related papers
- Quantitative Theory of Meaning. Application to Financial Markets. EUR/USD case study [1.3682156035049036]
The paper focuses on the link between information, investors' expectations and market price movement.
We build upon the quantitative theory of meaning as a complement to the quantitative theory of information.
Proposed methodology can be used to better understand and forecast future market assets' price movement.
arXiv Detail & Related papers (2024-10-09T02:06:40Z) - When AI Meets Finance (StockAgent): Large Language Model-based Stock Trading in Simulated Real-world Environments [55.19252983108372]
We have developed a multi-agent AI system called StockAgent, driven by LLMs.
The StockAgent allows users to evaluate the impact of different external factors on investor trading.
It avoids the test set leakage issue present in existing trading simulation systems based on AI Agents.
arXiv Detail & Related papers (2024-07-15T06:49:30Z) - Temporal distribution of clusters of investors and their application in prediction with expert advice [0.0]
This study contributes to the field by demonstrating the distribution of clusters derived from the real-world trades of 20k Foreign Exchange (FX) traders.
We show that the Aggregating Algorithm (AA), an on-line prediction with expert advice algorithm, can be applied to the aforementioned real-world data in order to improve the returns of portfolios of trader risk.
arXiv Detail & Related papers (2024-06-04T15:28:06Z) - Quantformer: from attention to profit with a quantitative transformer trading strategy [1.6006550105523192]
This work collects more than 5,000,000 rolling data of 4,601 stocks in the Chinese capital market from 2010 to 2019.
The results of this study demonstrated the model's superior performance in predicting stock trends compared with other 100 factor-based quantitative strategies.
arXiv Detail & Related papers (2024-03-30T17:18:00Z) - Deep Q-Learning Market Makers in a Multi-Agent Simulated Stock Market [58.720142291102135]
This paper focuses precisely on the study of these markets makers strategies from an agent-based perspective.
We propose the application of Reinforcement Learning (RL) for the creation of intelligent market markers in simulated stock markets.
arXiv Detail & Related papers (2021-12-08T14:55:21Z) - Stock Price Prediction Under Anomalous Circumstances [81.37657557441649]
This paper aims to capture the movement pattern of stock prices under anomalous circumstances.
We train ARIMA and LSTM models at the single-stock level, industry level, and general market level.
Based on 100 companies' stock prices in the period of 2016 to 2020, the models achieve an average prediction accuracy of 98%.
arXiv Detail & Related papers (2021-09-14T18:50:38Z) - Constraint-Based Inference of Heuristics for Foreign Exchange Trade
Model Optimization [13.26093613374959]
We develop two datasets with high rate of trading signals.
We perform a machine learning simulation of 10 years of Forex price data over three low-margin instruments and 6 different OHLC granularities.
As a result, we develop a specific and reproducible list of most optimal trade parameters found for each instrument-granularity pair.
arXiv Detail & Related papers (2021-05-11T00:36:02Z) - A Sentiment Analysis Approach to the Prediction of Market Volatility [62.997667081978825]
We have explored the relationship between sentiment extracted from financial news and tweets and FTSE100 movements.
The sentiment captured from news headlines could be used as a signal to predict market returns; the same does not apply for volatility.
We developed an accurate classifier for the prediction of market volatility in response to the arrival of new information.
arXiv Detail & Related papers (2020-12-10T01:15:48Z) - Taking Over the Stock Market: Adversarial Perturbations Against
Algorithmic Traders [47.32228513808444]
We present a realistic scenario in which an attacker influences algorithmic trading systems by using adversarial learning techniques.
We show that when added to the input stream, our perturbation can fool the trading algorithms at future unseen data points.
arXiv Detail & Related papers (2020-10-19T06:28:05Z) - A Deep Reinforcement Learning Framework for Continuous Intraday Market
Bidding [69.37299910149981]
A key component for the successful renewable energy sources integration is the usage of energy storage.
We propose a novel modelling framework for the strategic participation of energy storage in the European continuous intraday market.
An distributed version of the fitted Q algorithm is chosen for solving this problem due to its sample efficiency.
Results indicate that the agent converges to a policy that achieves in average higher total revenues than the benchmark strategy.
arXiv Detail & Related papers (2020-04-13T13:50:13Z)
This list is automatically generated from the titles and abstracts of the papers in this site.
This site does not guarantee the quality of this site (including all information) and is not responsible for any consequences.