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Profitability analysis of artificial intelligence methods and technical indicators in the forex exchange

The result's identifiers

  • Result code in IS VaVaI

    <a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F00216275%3A25530%2F20%3A39916960" target="_blank" >RIV/00216275:25530/20:39916960 - isvavai.cz</a>

  • Result on the web

  • DOI - Digital Object Identifier

Alternative languages

  • Result language

    angličtina

  • Original language name

    Profitability analysis of artificial intelligence methods and technical indicators in the forex exchange

  • Original language description

    For algorithmic trading many methods have been suggested. This article will be devoted to predicting the behavior of currency pairs on the Forex exchange. Several methods of artificial intelligence and statistical analysis will be used to predict the future of forex currency pairs. We adopt the idea of transforming the window of time series into the spectral plane, and then analyzing the clusters using hierarchical clustering, Kohonen maps and evolutionary algorithms. Next, we will use a radically different approach to time series analysis in the time domain: fuzzy time series and genetic algorithm. In the numerical study we will compare the success of artificial intelligence algorithms and multivariate statistical analysis with the success of technical indicators MACD and ROC.

  • Czech name

  • Czech description

Classification

  • Type

    D - Article in proceedings

  • CEP classification

  • OECD FORD branch

    10201 - Computer sciences, information science, bioinformathics (hardware development to be 2.2, social aspect to be 5.8)

Result continuities

  • Project

  • Continuities

    I - Institucionalni podpora na dlouhodoby koncepcni rozvoj vyzkumne organizace

Others

  • Publication year

    2020

  • Confidentiality

    S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů

Data specific for result type

  • Article name in the collection

    19th Conference on Applied Mathematics, APLIMAT 2020 Proceedings

  • ISBN

    978-80-227-4983-1

  • ISSN

  • e-ISSN

  • Number of pages

    10

  • Pages from-to

    "897–906"

  • Publisher name

    Slovenská technická univezita v Bratislave

  • Place of publication

    Bratislava

  • Event location

    Bratislava

  • Event date

    Feb 4, 2020

  • Type of event by nationality

    EUR - Evropská akce

  • UT code for WoS article