Forecasting directional movement of forex data using LSTM with technical and macroeconomic indicators

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2019

Author

Yıldırım, Deniz Can

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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

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Graduate School of Natural and Applied Sciences, Thesis

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Citation Formats

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.