Integrating Grid Template Patterns and Multiple Committees of Neural Networks in Forex Market

Nikitas Goumatianos, Ioannis Christou, Peter Lindgren

Research output: Contribution to book/anthology/report/conference proceedingArticle in proceedingResearchpeer-review

Abstract

We present a hybrid framework for trading in Forex spot market by integrating two different technologies: price patterns based on an array of grid template methods and multiple committees of neural networks. This integration is applied in four currency pairs (EUR/JPY, EUR/USD, GBP/JPY and GBP/USD) using data of a 20 min timeframe. In this research we examine two different fusion approaches for Forex trading: the first one is based on price pattern discovery methods and committees of neural networks as independent entities and works by assigning one entity as basic signal provider and the other as filtering system. The second approach is to take price pattern properties (e.g. forecasting power values) together with technical indicators to feed and train the neural networks. Results show that in both approaches, integration of these independent technologies can improve the trading performance by bringing higher net profits and less risk.

Original languageEnglish
Title of host publicationArtificial Intelligence Perspectives and Applications : Proceedings of the 4th Computer Science On-line Conference 2015 (CSOC2015), Vol 1: Artificial Intelligence Perspectives and Applications
EditorsRadek Silhavy, Roman Senkerik, Zuzana Kominkova Oplatkova, Zdenka Prokopova, Petr Silhavy
Number of pages10
Volume347
PublisherSpringer
Publication date2015
Pages247-256
ISBN (Print)978-3-319-18475-3
ISBN (Electronic)978-3-319-18476-0
DOIs
Publication statusPublished - 2015
Event4th Computer Science On-line Conference, CSOC 2015 - Zlin, Czech Republic
Duration: 27 Apr 201530 Apr 2015

Conference

Conference4th Computer Science On-line Conference, CSOC 2015
Country/TerritoryCzech Republic
CityZlin
Period27/04/201530/04/2015
SeriesAdvances in Intelligent Systems and Computing
Volume347
ISSN1615-3871

Keywords

  • Committee of Neural Networks
  • Forex Market
  • Price Pattern Discovery
  • Template Grid Method
  • Trading Strategies

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