Paper Abstract and Keywords |
Presentation |
2018-06-10 14:00
Prediction of Foreign Exchange Rates by Price Quotations of Counterparty Banks
-- Using Collective Intelligence of Professional Views -- Takehiro Suzuki, Tomoya Suzuki (Ibaraki Univ.) NLP2018-47 CCS2018-20 |
Abstract |
(in Japanese) |
(See Japanese page) |
(in English) |
In foreign-exchange (FX) dealing, FX brokers basically cancel out the orders from their customers to prevent the price fluctuation risk by cover transactions with global megabanks called Counter Party (CP). Each CP has huge amount of money to play a role of market reader, and might have proprietary know-how to foresee future price movements. From this viewpoint, we try to extract their knowledge by a machine learning approach, and therefore we apply the stacking method that aggregates some predictors to extract the ensemble knowledge. If CP's price quotations are decided by foreseeing future price possibilities, their quotations can be considered as predictors. From this concept, we apply the stacking method to their quotations and obtain the ensemble knowledge from them. Through some simulations using real price data, we could confirm that the given ensemble knowledge improves the prediction accuracy of FX price movements compared to the machine learning using a single CP's price quotation. |
Keyword |
(in Japanese) |
(See Japanese page) |
(in English) |
Wisdom of crowds / Ensemble learning / Stacking / Financial systems / / / / |
Reference Info. |
IEICE Tech. Rep., vol. 118, no. 76, CCS2018-20, pp. 109-114, June 2018. |
Paper # |
CCS2018-20 |
Date of Issue |
2018-06-01 (NLP, CCS) |
ISSN |
Print edition: ISSN 0913-5685 Online edition: ISSN 2432-6380 |
Copyright and reproduction |
All rights are reserved and no part of this publication may be reproduced or transmitted in any form or by any means, electronic or mechanical, including photocopy, recording, or any information storage and retrieval system, without permission in writing from the publisher. Notwithstanding, instructors are permitted to photocopy isolated articles for noncommercial classroom use without fee. (License No.: 10GA0019/12GB0052/13GB0056/17GB0034/18GB0034) |
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NLP2018-47 CCS2018-20 |
Conference Information |
Committee |
NLP CCS |
Conference Date |
2018-06-08 - 2018-06-10 |
Place (in Japanese) |
(See Japanese page) |
Place (in English) |
Kyoto Terrsa |
Topics (in Japanese) |
(See Japanese page) |
Topics (in English) |
Synchronization, Networks, etc |
Paper Information |
Registration To |
CCS |
Conference Code |
2018-06-NLP-CCS |
Language |
Japanese |
Title (in Japanese) |
(See Japanese page) |
Sub Title (in Japanese) |
(See Japanese page) |
Title (in English) |
Prediction of Foreign Exchange Rates by Price Quotations of Counterparty Banks |
Sub Title (in English) |
Using Collective Intelligence of Professional Views |
Keyword(1) |
Wisdom of crowds |
Keyword(2) |
Ensemble learning |
Keyword(3) |
Stacking |
Keyword(4) |
Financial systems |
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1st Author's Name |
Takehiro Suzuki |
1st Author's Affiliation |
Ibaraki University (Ibaraki Univ.) |
2nd Author's Name |
Tomoya Suzuki |
2nd Author's Affiliation |
Ibaraki University (Ibaraki Univ.) |
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Speaker |
Author-1 |
Date Time |
2018-06-10 14:00:00 |
Presentation Time |
25 minutes |
Registration for |
CCS |
Paper # |
NLP2018-47, CCS2018-20 |
Volume (vol) |
vol.118 |
Number (no) |
no.75(NLP), no.76(CCS) |
Page |
pp.109-114 |
#Pages |
6 |
Date of Issue |
2018-06-01 (NLP, CCS) |
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