Foreign exchange rates are a chaotic time series. They are affected by a lot of factors. What are the major factors that affect the FOREX market? How can I use them as an input to ANN or ANFIS
Article FOREX rate prediction using a Hybrid System
I used market-dependent "transition rates" (see my Physica A paper). The transition rates are continuously altered by market behavior. I have used my system for a while. But large sums of money are needed , in the millions, for useful gain.
Hello Mr. Nathan
To my knolwedge thre are various factors that affects the FOREX Market e.g. Inflation Rates, Interest Rates, Country’s Current Account / Balance of Payments, Government Debt, Terms of Trade, Political Stability & Performance, Recession and Speculation which for instance that can be included in the study.
Is it possible to give these factors as an input to an ANN or ANFIS network? If yes, what are the values that can be given and how can it be done?
I can partly answer your question in terms of multinational companies which have Neural Network kind of hierarchial information structure across time and space and membership in the share market follows dynamic Markovian fuzzy rules due to presence of production uncertainty and bounded rationality. You can study such multinational corporate finance and international financial markets quant asset pricing models combined by studying dynamic evolution of such general equilibrium models of the structural econophysics e-commerce microstructure based ANN, ANFIS, Time Series integrated and cointegrated quant models type. You can take a look at my HAAG'S Theorem paper published in the European Journal of Physics on my RG webpage. It will only give you the algorithm and the fractal geometry for graphical digital representation of the data with such market structures and neural digital asset networks. SKM
I suppose that there is a clear causality nexus from volatility on financial markets to volatility on the forex markets. Notably the overshooting explanation exposed by Dornbusch cannot be supported by emprical analysis. Then, following Richard Meese and Kenneth Rogoff, “Empirical Exchange Rate Models of the Seventies. Do They Fit Out Of Sample?”, Journal of International Economics, 14. (1983), we should consider what are the variables that are actually relevant for a random walk.Other scholars as André Orléan or John T. Harvey suggest that the way in which we should study behaviours in financial markets, that produce random walk of the exchange rates, are connected with financial conventions as Keynes defined them in the General Theory.
I tried to give my little contribution to this debate in some articles thta you may find following the links below.
Article Contemporary Capitalism as a New Monetary Economy of Product...
Article Penser la crise et la sortie de crise. Les apports de André ...
HI,
You may have a look at this paper:
Foreign exchange predictability and the carry trade: A decomposition approach
Journal of Empirical Finance, June 2017, Pages 199-211
Stanislav Anatolyev, Nikolay Gospodinov, Ibrahim Jamali, Xiaochun Liu
Best regards
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