The identification of price patterns and trends, and the formation of rules to generate market signals have a long history in foreign exchange rate markets. Recent studies, however, question the profitability of the simple rules that have been shown to yield abnormal profits in previous decades. Rather than assuming a fixed set of rules, in this paper we employ genetic programming to identify r...

This study presents a neural network & web-based decision support system (DSS) for foreign exchange (forex) forecasting and trading decision, which is adaptable to the needs of financial organizations and individual investors. In this study, we integrate the back-propagation neural network (BPNN)based forex rolling forecasting system to accurately predict the change in direction of daily exchan...

Most existing studies on forecasting exchange rates focus predicting next-period returns. In contrast, this study takes the novel approach of and trading longer-term trends (macro-cycles) rates. It proposes a unique hybrid forecast model consisting linear regression, multilayer neural network, combination models embedded with technical rules economic fundamentals to predict macro-cycles selecte...

This paper considers the discovery of trading decision models from high-frequency foreign exchange (FX) markets data using genetic programming (GP). It presents a domain-related structuring of the representation and incorporation of semantic restrictions for GP-based search of trading decision models. A defined symmetry property provides a basis for the semantics of FX trading models. The symme...

In this work we combine Genetic Programming (GP) and intelligent agents to build a realistic foreign exchange currency market simulator. GP is used to express and evolve trading strategies. In the paper we analyse the decisions made in the design of the simulator with respect to authenticity of the representation and the efficiency of the system. A number of experimental results are also reported.

However, technological advances have recently altered the way foreign exchange dealer conduct their business. Bilateral deals still happen, although email conversations are now the norm (typically using the Reuters D2000-1 dealing system). The brokers market has also been revolutionized by the introduction of two electronic broking systems (Reuters D2000-2 and Electronic Broking Services [EBS])...

There is reliable evidence that simple rules used by traders have some predictive value over the future movement of foreign exchange prices. This paper will review some of this evidence and discuss the economic magnitude of this predictability. The pro tability of these trading rules will then be analyzed in connection with central bank activity using intervention data from the Federal Reserve....

Reducing trading costs and slippage is a universal concern of asset managers. Although the decision of what assets to hold is stil the most important aspect of investing, poor execution of trade decisions can subtract many basis points from overall return. Conversely, having an effective strategy to execute trades and to measure transaction costs can enhance returns: “A penny saved in slippage ...