Applying Time Delay Neural Network to financial events
Applying Time Delay Neural Network to financial events
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MithPaul · External communityPost link
External question — Quantitative Finance Stack Exchange
Author: MithPaul
Original post: https://quant.stackexchange.com/questions/18704
License: CC BY-SA 3.0 — https://creativecommons.org/licenses/by-sa/3.0/
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I have an IT background and I would like to use data from a forex calendar like
this one
to predict prices.
The problem is that calendar news impacts can last for days or weeks or even can effect previous hours to their release.
Since I would like to use this fundamental information as signal for a trading system, I have read about
Time Delay Neural Networks
and I think it could be useful for this task.
Does anyone knows or can point to references on how can I apply a Time Delay Neural Network to accomplish this? Thanks beforehand!
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Quantopik · External communityPost link
External answer — Quantitative Finance Stack Exchange
Author: Quantopik
Original post: https://quant.stackexchange.com/a/18706
License: CC BY-SA 3.0 — https://creativecommons.org/licenses/by-sa/3.0/
Adaptation: HTML converted to plain text; contact email addresses removed.
I suggest you to read as reference the following paper:
Yao, Jingtao, and Chew Lim Tan. "A case study on using neural networks
to perform technical forecasting of forex." Neurocomputing 34.1
(2000): 79-98.
The authors applied TDNNs to the forex markets and I think it could be useful for you purposes; you can find the pdf version of the paper
here
.
As regards the available tools to construct this kind of model, I know you can implement that in
matlab
, by exploiting `
timedelaynet
.
Hope this will help.
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Quoted from Forex.com.bd-Editorial External question — Quantitative Finance Stack Exchange Author: MithPaul Source score (net votes, not local likes): 3 Original post: https://quant.stackexchange.com/questions/18704 License: CC BY-SA 3.0 — https://creativecommons.org/licenses/by-sa/3.0/ Adaptation: HTML converted to plain text; contact email addresses removed. I have an IT background and I would like to use data from a forex calendar like this one to predict prices. The problem is that calendar news impacts can last for days or weeks or even can effect previous hours to their release. Since I would like to use this fundamental information as signal for a trading system, I have read about Time Delay Neural Networks and I think it could be useful for this task. Does anyone knows or can point to references on how can I apply a Time Delay Neural Network to accomplish this? Thanks beforehand!
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