18.11.2022, 16:44

„Is attention all you need for intraday Forex trading?” – invitation for the 25th QFRG and DSLab seminar [21.11.2022]

We invite you to join the 25th meeting organised by Quantitative Finance Research Group and Data Science Lab.

During the meeting the research „Is attention all you need for intraday Forex trading?” will be presented by Przemysław Grądzki student of the Doctoral School of Social Sciences of the University of Warsaw and prof. Piotr Wójcik from the Department of Quantitative Finance of the Faculty.

The meeting will be held on November 21st 2022 at 5 p.m. via Zoom platform and will be held in English.

Link to the meeting:

https://uw-edu-pl.zoom.us/j/99870736058?pwd=SVFzbzdaVW9IcGxFTk1aQ29Od1VBdz09

Meeting ID: 998 7073 6058      

Passcode: 403190

 

Presentation abstract:

Our main objective is to analyze whether the Transformer neural network, which has become one of the most influential algorithms in Artificial Intelligence over the last few years, exhibits predictive capabilities for high-frequency Forex data. The prediction task is to classify short-term Forex movements for six currency pairs and five different time intervals from 60 min to 720 min. We find that its performance is slightly better than for the carefully selected benchmark – ResNet-LSTM, which currently is a state-of-the-art algorithm. We also show that high predictive accuracy can be misleading in real world trading for short time intervals, as models trained on OHLC data tend to report the highest accuracy when the spread cost is the highest. This renders assessment based on typical machine learning metrics overly optimistic. Therefore, it is critical to backtest frequent intraday forex trading strategies with realistic cost assumptions, which is rarely the case in empirical literature. Lastly, sensitivity analysis shows that the length of the time interval used for training does not play a critical role in the Transformer’s predictive capabilities, whereas features derived from technical analysis are essential.

 

Please log in at the latest at 4:50 PM. The presentation is scheduled for about 45 minutes and after that we invite you to a discussion.

Joining a meeting implies consent to the recording. Please turn off cameras and microphones during the presentation and send the questions to the speaker in the chat.