Gaussian Process Kernel Crossover for Automated Forex Trading System (SCOPUS)

Estimated reading time: 1 min
Research Article: Gaussian Process Kernel Crossover for Automated Forex Trading System
Author: Tuchsanai Ploysuwan, Roungsan Chaisricharoen
Email: tuchsanai.plo@siam.edu
Department|Faculty: Department of Electrical Engineering, Faculty of Engineering, Siam University, Bangkok 10160
Published: 2017 14th International Conference on Electrical Engineering/Electronics, Computer, Telecommunications and Information Technology (ECTI-CON), IEEE, 27-30 June 2017 Phuket, Thailand

Citation

Ploysuwan T., & Chaisricharoen R. (2017). Gaussian process kernel crossover for automated forex trading system. In 2017 14th International Conference on Electrical Engineering/Electronics, Computer, Telecommunications and Information Technology (ECTI-CON) (pp. 802-805). IEEE. doi: 10.1109/ECTICon.2017.8096360.


ABSTRACT

Due to time varying volatility of forex financial time series price data, the traditional technical analysis such as simple moving average (SMA) and exponential moving average (EMA) cannot capture the dynamic time varying in the market. The combination of Gaussian Process kernel framework and classical trendline crossover strategy is proposed with new objective function for optimization trading performance. The experimental results demonstrate better trading performance for both price prediction and accumulated profit return.

Keywords : Gaussian Process Kernel, Forex, Automated trading.


Gaussian Process Kernel Crossover for Automated Forex Trading System

คณะวิศวกรรมศาสตร์ มหาวิทยาลัยสยาม | Faculty of Engineering, Siam University, Bangkok, Thailand

Tags:
Was this article helpful? บทความนี้เป็นประโยชน์หรือไม่?
ไม่ / Dislike 0
Views: 107
Facebook
Twitter
LinkedIn
WhatsApp
Email
Print

QR code for article

QR Code