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Correlation-aided support vector regression for forex time series prediction

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Abstract

Market is often found behaving surprisingly similar to history, which implies that correlation exists significant for market trend analysis. In the context of Forex market analysis, this paper proposes a correlation-aided support vector regression (cSVR) for time series application, where correlation data are extracted through a graphical channel correlation analysis, compensated by a parameterized Pearson’s correlation to exclude noise meanwhile minimize useful information lost. The effectiveness of cSVR against SVR is confirmed by experiments on 5 contracts (NZD/AUD, NZD/EUD, NZD/GBP, NZD/JPY, and NZD/USD) exchange rate prediction within the period from January 2007 to December 2008.

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Authors and Affiliations

  1. Auckland University of Technology, Auckland, New Zealand

    Shaoning Pang, Lei Song & Nik Kasabov

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  1. Shaoning Pang
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  2. Lei Song
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  3. Nik Kasabov
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Correspondence to Shaoning Pang.

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Pang, S., Song, L. & Kasabov, N. Correlation-aided support vector regression for forex time series prediction. Neural Comput & Applic 20, 1193–1203 (2011). https://doi.org/10.1007/s00521-010-0482-5

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