Event-Driven Business Intelligence Approach for Real-Time Integration of Technical and Fundamental Analysis in Forex Market

Abuhamad, Mohammed; Mohd, Masnizah; Salim, Juhana

doi:10.3844/jcssp.2013.488.499

Cited by 15 publications

(9 citation statements)

References 47 publications

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“…2. Output from the sub-models is aggregated based on heuristic trading rules [6], [9], [10] to yield the final prediction signal, which is either bullish or bearish.…”

Section: Introductionmentioning

confidence: 99%

BERTFOREX: Cascading Model for Forex Market Forecasting Using Fundamental and Technical Indicator Data Based on BERT

2022

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Foreign exchange (Forex) rate forecasting is presently pursued by many researchers as it plays an important role in financial technology and business. The challenge of Forex research lies in its characteristics, fluctuation, non-linearity, and random walk phenomena. Several related studies generate forecasting signals using fundamental data (FD) and technical indicator data (TI) to support Forex. FD is an indicator of country economic conditions, while TI shows the price pattern-based signal. However, these two indicators pose two major limitations on their deployment. First, modeling a sequential neural network causes gradient vanishing and information loss. Second, FD exerts a significant impact on currency price upon its quarterly update and release. The second limitation is known as FD releasing problem. Moreover, Forex forecasting using FD and TI is typically conducted in an equal aggregation manner, resulting in inaccurate prediction due to unequal data changing frequency. In this work, we propose BERTFOREX, a cascading model for Forex time-series forecasting. The proposed technique uses deep learning Bidirectional Encoder Representations from Transformer (BERT) based on FD and TI data characteristics. The technique first applies FD to extract the hidden patterns over the designated period. Then, these extracted hidden patterns of FD are aggregated as additional weights to TI since FD frequency changes slower than that of TI. This yields a combined aggregated pattern of FD and TI. BERT again applies the aggregated pattern to discover underlying patterns within TI and FD over other influencing days. We demonstrate the efficiency of BERTFOREX aggregated representation using a simple neural network in forecasting. The proposed method outperforms other methods in terms of percentage of correct signals, sensitivity, specificity, precision, and negative predictive value.

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“…2. Output from the sub-models is aggregated based on heuristic trading rules [6], [9], [10] to yield the final prediction signal, which is either bullish or bearish.…”

Section: Introductionmentioning

confidence: 99%

BERTFOREX: Cascading Model for Forex Market Forecasting Using Fundamental and Technical Indicator Data Based on BERT

2022

View full text Add to dashboard Cite

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“…Trading in the Forex market, there are two types of strategies, which are commonly used for analyzing the movement of the market including fundamental and technical analysis [2]. Fundamental analysis is a technique of analyzing at the forex market by looking at news, financial reports, economic announcements, social and political forces [3]. Unlike fundamental analysis, technical analysis is a technique that uses charts as it is the easiest way to visualize historical data [4] and study the price movements [5].…”

Section: Introductionmentioning

confidence: 99%

“…Various existing trading strategies have been developed since the Forex market is established. Some strategies are developed based on fundamental analysis [10]- [12], while some are based on technical analysis [13]- [17]. However, many traders still lose their money in forex trading, even if they have a good trading strategy.…”

Section: Introductionmentioning

confidence: 99%

Developing A Forex Expert Advisor Based on Japanese Candlestick Patterns and Technical Trading Strategies

Pongsena¹,

Ditsayabut²,

Panichkul³

et al. 2018

IJTEF

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Foreign Exchange or Forex market is considered the largest trading market in the world. Trading in the Forex market, traders need to have a good trading strategy in order to make profits and be a successful trader. However, there are some factors that create limitations for many traders, such as, trading behaviors, emotions, and time. The development of Expert Advisor or EA allows automation of the analytical and trading processes under the MT4 platform. An EA with a good trading instruction can provide the ability to make profits and fulfill the limitations of human trades. In this research, we propose a novel EA that performs an automatically trade following the trading strategy. Our trading strategy is the combination between technical analysis including the ancient but powerful Japanese candlestick patterns and the modern technical indicators. The results of the evaluation by using the strategy tester function in the MT4 platform reveal that the proposed EA performs a good performance as it makes approximately 150 percent growth in a year. In addition, we perform an extensive experimentation in order to compare the performance of the proposed EA with the existing two EAs. The results show that the proposed EA have a better performance than both existing EAs testing in the same period of time and currency pairwise.

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“…In particular, some arguments against the orthodox approaches have noted that large and transitory deviations from equilibrium exchange rates tend to be inconsistent with the prevailing, and publicly known, fundamental information regarding the economic states of a given country pair (Taylor, 1995; Frankel et al , 2009). This phenomenon in the real world context has led to market microstructure thought being the subject of much interest in terms of explaining exchange rate determination and volatility in the short run (Abuhamad et al , 2013).…”

Section: Introductionmentioning

confidence: 99%

Price leadership in the South African foreign-exchange market: an empirical analysis

Shandu

Boako

Alagidede

2018

IJOEM

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Purpose The purpose of this paper is to investigate the information-based microstructure theory’s effectiveness in explaining short-term disturbances in currency prices by determining whether the price discovery process in the US dollar (USD) and South African rand (ZAR)-USD/ZAR spot market is led by an individual market agent, around an exogenous news event. Design/methodology/approach The influence of central bank intervention-related events on USD/ZAR volatility is investigated through the application of Brown-Forsythe variance equality tests on individual dealer and market quotes. Furthermore, the study applies bivariate Granger-causality tests to individual dealers’ USD/ZAR spot rate quotes, in an effort to determine whether certain dealers can be established as price leaders around an exogenous news event. Findings The study finds significant evidence to suggest the USD/ZAR market price leadership of Nomura forex (FX) prior to the public announcement of a South African Reserve Bank intervention-related news event. This finding supports microstructure theory’s assertions regarding the existence of foreign-exchange market characteristics such as trader heterogeneity and private information. Research limitations/implications The paper is conducted on a sample of eight USD/ZAR market agents, of which six are offshore dealers, and only two are located locally. Although these proportions are somewhat relatable to the locations of rand turnover, it would still be interesting to investigate the existence of price leadership solely amongst South African authorised FX dealers. Practical implications The results suggest the existence and price relevance of private information, as well as the heterogeneous nature of USD/ZAR market participants, based on informational asymmetries. The outcomes of the paper are useful to market participants, researchers, and central banks alike. Originality/value Though the study does not impugn the body of work related to the orthodox macroeconomic approaches to exchange rate determination, it seems apparent that much more microstructure-related research still has to be conducted in the context of emerging market currencies. It is this void that the current study has attempted to provide for in contribution to literature.

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Event-Driven Business Intelligence Approach for Real-Time Integration of Technical and Fundamental Analysis in Forex Market

Cited by 15 publications

References 47 publications

BERTFOREX: Cascading Model for Forex Market Forecasting Using Fundamental and Technical Indicator Data Based on BERT

BERTFOREX: Cascading Model for Forex Market Forecasting Using Fundamental and Technical Indicator Data Based on BERT

Developing A Forex Expert Advisor Based on Japanese Candlestick Patterns and Technical Trading Strategies

Price leadership in the South African foreign-exchange market: an empirical analysis

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