Predict Foreign Exchange Market Turbulence Using Thick Neural Networks

Soner Teknikerller, Commercial Analyst, Lion

Financial Markets

  • Three core forms for architectures

    • FFBP (Feedforward Back Propagation) - > produce most stable errors
    • FFTD
    • NARX
  • Thick NN - a pool of several NN (like experts working together)

  • Forecasting FX Turbulence with NN

    • input

      • current/past turbulence
      • Sing. GDP Growth
      • Sing. CPI inflation
      • Sing. interbank rates
      • USA GDP growth
      • USA CPI inflation
      • USA Fed reserve
      • Trade terms
    • output

      • Future turbulence 1M/3M/6M ahead

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