For those of you who are skeptical about NN

Posted on December 24, 2006
Filed Under Forex, Trading |

Abstract from an article I recommend: This paper reports empirical evidence that a neural networks model is applicable to the statistically reliable prediction of foreign exchange rates. Time series data and technical indicators such as moving average, are fed to neural nets to capture the underlying â€œrulesâ€ of the movement in currency exchange rates.

The trained recurrent neural networks forecast the
exchange rates between American Dollar and four other major currencies, Japanese Yen, Swiss
Frank, British Pound and EURO. Various statistical estimates of forecast quality have been
carried out. Obtained results show, that neural networks are able to give forecast with coefficient
of multiple determination not worse then 0.65. Linear and nonlinear statistical data
preprocessing, such as Kolmogorov-Smirnov test and Hurst exponents for each currency were
calculated and analyzed.

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