Advertisement
Published in:
2015 | OriginalPaper | Chapter
Modeling the EUR/USD Index Using LS-SVM and Performing Variable Selection
Authors : Luis-Javier Herrera, Alberto Guillén, Rubén Martínez, Carlos García, Hector Pomares, Oresti Baños, Ignacio Rojas
Published in: Advances in Computational Intelligence
Publisher: Springer International Publishing
Activate our intelligent search to find suitable subject content or patents.
Select sections of text to find matching patents with Artificial Intelligence. powered by
Select sections of text to find additional relevant content using AI-assisted search. powered by
As machine learning becomes more popular in all fields, its use is well known in finance and economics. The growing number of people using models to predict the market’s behaviour can modify the market itself so it is more predictable. In this context, the key element is to find out which variables are used to build the model in a macroeconomic environment. This paper presents an application of kernel methods to predict the EUR/USD relationship performing variable selection. The results show how after applying a proper variable selection, very accurate predictions can be achieved and smaller historical data is needed to train the model.