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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.
Mid-price movement prediction based on limit order book (LOB) data is a challenging task due to the complexity and dynamics of the LOB. So far, there have been very limited attempts for extracting relevant features based on LOB data. In this paper, w
Bitcoin, as one of the most popular cryptocurrency, is recently attracting much attention of investors. Bitcoin price prediction task is consequently a rising academic topic for providing valuable insights and suggestions. Existing bitcoin prediction
Great research efforts have been devoted to exploiting deep neural networks in stock prediction. While long-range dependencies and chaotic property are still two major issues that lower the performance of state-of-the-art deep learning models in fore
The present study aims to establish the model of the cryptocurrency price trend based on financial theory using the LSTM model with multiple combinations between the window length and the predicting horizons, the random walk model is also applied with different parameter settings.
This study investigates empirically whether the degree of stock market efficiency is related to the prediction power of future price change using the indices of twenty seven stock markets. Efficiency refers to weak-form efficient market hypothesis (E