KMS Of Academy of mathematics and systems sciences, CAS
A new ensemble deep learning approach for exchange rates forecasting and trading | |
Sun, Shaolong1,2,3; Wang, Shouyang2,3,4; Wei, Yunjie2,4 | |
2020-10-01 | |
发表期刊 | ADVANCED ENGINEERING INFORMATICS |
ISSN | 1474-0346 |
卷号 | 46页码:10 |
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. |
关键词 | Ensemble learning Forecasting Trading Deep learning LSTM |
DOI | 10.1016/j.aei.2020.101160 |
收录类别 | SCI |
语种 | 英语 |
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 |
WOS类目 | Computer Science, Artificial Intelligence ; Engineering, Multidisciplinary |
WOS记录号 | WOS:000607575400016 |
出版者 | ELSEVIER SCI LTD |
引用统计 | |
文献类型 | 期刊论文 |
条目标识符 | http://ir.amss.ac.cn/handle/2S8OKBNM/57977 |
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, Acad Math & Syst Sci, Beijing 100190, Peoples R China 3.Univ Chinese Acad Sci, Sch Econ & Management, Beijing 100190, Peoples R China 4.Chinese Acad Sci, Ctr Forecasting 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. |
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