| Presentation | 2014-01-21 Automated Forex Trading System Using the Nonlinear Portfolio Model Hirotake WACHI, Thanh Vu TAT, Satoshi INOSE, Atsushi KANNARI, Tomoya SUZUKI, |
|---|---|
| PDF Download Page |  PDF download Page Link |
| Abstract(in Japanese) | (See Japanese page) |
| Abstract(in English) | In our previous studies, 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) |
| Keyword(in English) | Nonlinear time-series prediction / nonlinear portfolio model / foreign exchange markets / automated trading system |
| Paper # | NLP2013-132 |
| Date of Issue |
| Conference Information | |
| Committee | NLP |
|---|---|
| Conference Date | 2014/1/14(1days) |
| Place (in Japanese) | (See Japanese page) |
| Place (in English) | |
| Topics (in Japanese) | (See Japanese page) |
| Topics (in English) | |
| Chair | |
| Vice Chair | |
| Secretary | |
| Assistant | |
| Paper Information | |
| Registration To | Nonlinear Problems (NLP) |
|---|---|
| Language | JPN |
| 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 |
| 1st Author's Name | Hirotake WACHI |
| 1st Author's Affiliation | Department of Intelligent Systems Engineering, College of Engineering, Ibaraki University() |
| 2nd Author's Name | Thanh Vu TAT |
| 2nd Author's Affiliation | Department of Intelligent Systems Engineering, College of Engineering, Ibaraki University |
| 3rd Author's Name | Satoshi INOSE |
| 3rd Author's Affiliation | Graduate School of Science and Engineering, Ibaraki University |
| 4th Author's Name | Atsushi KANNARI |
| 4th Author's Affiliation | International Audit Department, MS&AD Insurance Group Holdings |
| 5th Author's Name | Tomoya SUZUKI |
| 5th Author's Affiliation | Department of Intelligent Systems Engineering, College of Engineering, Ibaraki University |
| Date | 2014-01-21 |
| Paper # | NLP2013-132 |
| Volume (vol) | vol.113 |
| Number (no) | 383 |
| Page | pp.pp.- |
| #Pages | 6 |
| Date of Issue | |