A new ensemble deep learning approach for exchange rates forecasting and trading

doi:10.1016/j.aei.2020.101160

	A new ensemble deep learning approach for exchange rates forecasting and trading
	Sun, Shaolong 1,3,4; Wang, Shouyang 2,3,4; Wei, Yunjie 2,4
刊名	ADVANCED ENGINEERING INFORMATICS
	2020-10-01
卷号	46 页码:10
关键词	Ensemble learning Forecasting Trading Deep learning LSTM
ISSN号	1474-0346
DOI	10.1016/j.aei.2020.101160
英文摘要	This study proposes a new ensemble deep learning approach called LSTM-B by integrating long-short term memory (LSTM) neural network and bagging ensemble learning strategy in order to obtain accurate results of exchange rates forecasting and to improve profitability of exchange rates trading. Previous research literatures have explored exchange rate forecasts, mainly focusing on the validity of forecasts, nevertheless; the precision is only one aspect of exchange rates forecasts. More important than the forecasting performance is how these ensemble learning approaches such as our proposed LSTM-B ensemble deep learning approach can advise professional trading. We extend our forecasts results to examine potential financial profitability of exchange rates between the US dollars (USD) against other four major currencies, such as GBP, JPY, EUR and CNY. The empirical study indicates the effectiveness of our proposed LSTM-B ensemble deep learning approach, which significantly improved forecasting accuracy and potential trading profitability. The proposed LSTM-B ensemble deep learning approach significantly outperforms some other benchmarks with/without bagging ensemble learning strategy under study by means of the forecast performance and the potential trading profitability.
资助项目	National Natural Science Foundation of China[71801213] ; National Natural Science Foundation of China[71988101]
WOS研究方向	Computer Science ; Engineering
语种	英语
出版者	ELSEVIER SCI LTD
WOS记录号	WOS:000607575400016
内容类型	期刊论文
源URL	[http://ir.amss.ac.cn/handle/2S8OKBNM/57976]
专题	中国科学院数学与系统科学研究院
通讯作者	Wei, Yunjie
作者单位	1.Xi An Jiao Tong Univ, Sch Management, Xian 710049, Peoples R China 2.Chinese Acad Sci, Ctr Forecasting Sci, Beijing 100190, Peoples R China 3.Univ Chinese Acad Sci, Sch Econ & Management, Beijing 100190, Peoples R China 4.Chinese Acad Sci, Acad Math & Syst Sci, Beijing 100190, Peoples R China
推荐引用方式 GB/T 7714	Sun, Shaolong,Wang, Shouyang,Wei, Yunjie. A new ensemble deep learning approach for exchange rates forecasting and trading[J]. ADVANCED ENGINEERING INFORMATICS,2020,46:10.
APA	Sun, Shaolong,Wang, Shouyang,&Wei, Yunjie.(2020).A new ensemble deep learning approach for exchange rates forecasting and trading.ADVANCED ENGINEERING INFORMATICS,46,10.
MLA	Sun, Shaolong,et al."A new ensemble deep learning approach for exchange rates forecasting and trading".ADVANCED ENGINEERING INFORMATICS 46(2020):10.