Show/Hide Menu
Hide/Show Apps
Logout
Türkçe
Türkçe
Search
Search
Login
Login
OpenMETU
OpenMETU
About
About
Open Science Policy
Open Science Policy
Open Access Guideline
Open Access Guideline
Postgraduate Thesis Guideline
Postgraduate Thesis Guideline
Communities & Collections
Communities & Collections
Help
Help
Frequently Asked Questions
Frequently Asked Questions
Guides
Guides
Thesis submission
Thesis submission
MS without thesis term project submission
MS without thesis term project submission
Publication submission with DOI
Publication submission with DOI
Publication submission
Publication submission
Supporting Information
Supporting Information
General Information
General Information
Copyright, Embargo and License
Copyright, Embargo and License
Contact us
Contact us
Forecasting directional movement of forex data using LSTM with technical and macroeconomic indicators
Download
index.pdf
Date
2019
Author
Yıldırım, Deniz Can
Metadata
Show full item record
This work is licensed under a
Creative Commons Attribution-NonCommercial-NoDerivatives 4.0 International License
.
Item Usage Stats
527
views
177
downloads
Cite This
Foreign Exchange is known as Forex or FX is a financial market where currencies are bought and sold simultaneously. Forex is the largest financial market with more than $5 trillion volume. It is a decentralized market that is operational 24 hours in a day other than weekends which makes different from other markets. Fundamental and Technical Analysis are the two techniques that are commonly used in predicting the future prices in Forex. Fundamental Analysis concentrates on the economical, social and political factors that can cause to price moving higher, lower or staying the same. Technical analysis, on the other hand, is based on only the price to predict the future price movements. It studies the effect of the price movement by using technical indicators. In this thesis, a model that uses LSTM with technical and macroeconomic indicators is proposed to forecast directional movement of Forex data. It is based on the two LSTM models that learn the effects of both indicators individually. The predictions of two LSTM models are combined according to the predefined set of rules in order to determine the final decision. The experiments are conducted on EUR/USD currency pair to forecast 1-day, 3-days and 5-days ahead and promising results are succeeded.
Subject Keywords
Foreign exchange.
,
Keywords: Time series
,
forex
,
directional movement forecasting
,
technical indicator
,
macroeconomic indicator
,
LSTM.
URI
http://etd.lib.metu.edu.tr/upload/12623270/index.pdf
https://hdl.handle.net/11511/43406
Collections
Graduate School of Natural and Applied Sciences, Thesis
Suggestions
OpenMETU
Core
Heuristic based trading system on forex data using technical indicator rules
Öztürk, Murat; Toroslu, İsmail Hakkı; Fidan, Güven; Department of Computer Engineering (2015)
The foreign exchange market, which is widely known as Forex or FX, is the largest financial market with a daily transactional volume of $5 trillion. Due to the huge structure of the market, price analysis on FX market draws attention of many scientists and practitioners. There are 2 main analysis approaches: Fundamental and technical analysis. Fundamental analysis focuses on the macroeconomic factors such as interest rate to explain the market movements. Technical analysis deals with past market price data ...
Forecasting directional movement of Forex data using LSTM with technical and macroeconomic indicators
Yildirim, Deniz Can; Toroslu, İsmail Hakkı; Fiore, Ugo (2021-01-01)
Forex (foreign exchange) is a special financial market that entails both high risks and high profit opportunities for traders. It is also a very simple market since traders can profit by just predicting the direction of the exchange rate between two currencies. However, incorrect predictions in Forex may cause much higher losses than in other typical financial markets. The direction prediction requirement makes the problem quite different from other typical time-series forecasting problems. In this work, we...
Heuristic based trading system on Forex data using technical indicator rules
ÖZTÜRK, MURAT; Toroslu, İsmail Hakkı; Fidan, Guven (2016-06-01)
Technical indicators are widely used in Forex and other financial markets which are the building blocks of many trading systems. A trading system is based on technical indicators or pattern-based approaches which produces buy/sell signals to trade in the market. In this paper, a heuristic based trading system on Forex data, which is developed using popular technical indicators is presented. The system grounds on selecting and combining the trading rules based on indicators using heuristic methods. The selec...
How does the stock market volatility change after inception of futures trading?
Esen, İnci; Danışoğlu, Seza; Department of Financial Mathematics (2007)
As the trading volume in TURKDEX, the first and only options and futures exchange in Turkey, increases, it becomes more important to have an understanding of the effect of stock index futures trading on the underlying spot market volatility. In this respect, this thesis analyzes the effect of ISE-National 30 index futures contract trading on the underlying stocks’ volatility. In this thesis, spot portfolio volatility is decomposed into two components and this decomposition is applied to a single-factor retu...
Stock market liquidity analysis: evidence from the İstanbul Stock Exchange
Özdemir, Duygu; Gaygısız Lajunen, Esma; Department of Economics (2011)
The purpose of this thesis is to identify the factors playing a key role in the determination of the Turkish stock market liquidity in aggregate terms in a time series context and discuss the joint dynamics of the market-wide liquidity with its selected determinants and the trade volume. The main determinants tested are the level of return, the return volatility and the monetary stance of the Central Bank of the Republic of Turkey. The expected positive relationship between the liquidity and the return is c...
Citation Formats
IEEE
ACM
APA
CHICAGO
MLA
BibTeX
D. C. Yıldırım, “Forecasting directional movement of forex data using LSTM with technical and macroeconomic indicators,” Thesis (M.S.) -- Graduate School of Natural and Applied Sciences. Computer Engineering., Middle East Technical University, 2019.