Applying Time Delay Neural Network to financial events

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/ 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!

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.