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| Presentation | 2014-01-21 11:00 Automated Forex Trading System Using the Nonlinear Portfolio Model Hirotake Wachi, Vu Tat Thanh, Satoshi Inose (Ibaraki Univ.), Atsushi Kannari (MS&AD), Tomoya Suzuki (Ibaraki Univ.)  NLP2013-132 |
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| Abstract | (in Japanese) | (See Japanese page) |
| (in English) | In our previous studies (S.Inose, 2013) the nonlinear portfolio model was proposed and its usefulness was confirmed in stock markets. However, stock markets have some problems and inconvenient rules such as low liquidity risks, regulations for short selling, and the unit share system. Then, the nonlinear portfolio model has not yet been confirmed whether it can work in foreign exchange markets. For these reasons, in the present study, we modified the nonlinear portfolio model in order to apply it to foreign exchange markets, and then developed a new automated trading system. Here, MetaTrader has been well-known as a famous free tool to make an automated trading system. However, the way of programing is unique, and it is sometimes changed by releasing a new version. So, we do not use it mainly, but only for getting new price data and sending orders to the market. For composing the nonlinear portfolio model, we instead use Matlab, which is a standard programing software. Finally, we connect Matlab with MetaTrader to repeat the daily investment process automatically everyday. | |
| Keyword | (in Japanese) | (See Japanese page) |
| (in English) | nonlinear time-series prediction / nonlinear portfolio model / foreign exchange markets / automated trading system / / / / | |
| Reference Info. | IEICE Tech. Rep., vol. 113, no. 383, NLP2013-132, pp. 19-24, Jan. 2014. | |
| Paper # | NLP2013-132 | |
| Date of Issue | 2014-01-14 (NLP) | |
| ISSN | Print edition: ISSN 0913-5685 Online edition: ISSN 2432-6380 | |
| Copyright and reproduction |
All rights are reserved and no part of this publication may be reproduced or transmitted in any form or by any means, electronic or mechanical, including photocopy, recording, or any information storage and retrieval system, without permission in writing from the publisher. Notwithstanding, instructors are permitted to photocopy isolated articles for noncommercial classroom use without fee. (License No.: 10GA0019/12GB0052/13GB0056/17GB0034/18GB0034) | |
| Download PDF | NLP2013-132 |
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| Conference Information | |
| Committee | NLP |
| Conference Date | 2014-01-21 - 2014-01-22 |
| Place (in Japanese) | (See Japanese page) |
| Place (in English) | Niseko Park Hotel |
| Topics (in Japanese) | (See Japanese page) |
| Topics (in English) | General |
| Paper Information | |
| Registration To | NLP |
| Conference Code | 2014-01-NLP |
| Language | Japanese |
| Title (in Japanese) | (See Japanese page) |
| Sub Title (in Japanese) | (See Japanese page) |
| Title (in English) | Automated Forex Trading System Using the Nonlinear Portfolio Model |
| Sub Title (in English) | |
| Keyword(1) | nonlinear time-series prediction |
| Keyword(2) | nonlinear portfolio model |
| Keyword(3) | foreign exchange markets |
| Keyword(4) | automated trading system |
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| 1st Author's Name | Hirotake Wachi |
| 1st Author's Affiliation | Ibaraki University (Ibaraki Univ.) |
| 2nd Author's Name | Vu Tat Thanh |
| 2nd Author's Affiliation | Ibaraki University (Ibaraki Univ.) |
| 3rd Author's Name | Satoshi Inose |
| 3rd Author's Affiliation | Ibaraki University (Ibaraki Univ.) |
| 4th Author's Name | Atsushi Kannari |
| 4th Author's Affiliation | MS&AD Holdings (MS&AD) |
| 5th Author's Name | Tomoya Suzuki |
| 5th Author's Affiliation | Ibaraki University (Ibaraki Univ.) |
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| Speaker | Author-1 |
| Date Time | 2014-01-21 11:00:00 |
| Presentation Time | 20 minutes |
| Registration for | NLP |
| Paper # | NLP2013-132 |
| Volume (vol) | vol.113 |
| Number (no) | no.383 |
| Page | pp.19-24 |
| #Pages | 6 |
| Date of Issue | 2014-01-14 (NLP) |
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