Artificial neural networks and foreign exchange : a financial micro-structure approach

Market micro-structure variables provide a novel approach to foreign exchange price determination. More precisely, the order flow has been recognised in literature as a main driver of short-term price dynamics in foreign exchange markets. I present an Artificial Neural Network to improve the estimat...

Full description

Autores:
Duque Marulanda, Miguel
Tipo de recurso:
Trabajo de grado de pregrado
Fecha de publicación:
2019
Institución:
Universidad de los Andes
Repositorio:
Séneca: repositorio Uniandes
Idioma:
eng
OAI Identifier:
oai:repositorio.uniandes.edu.co:1992/45178
Acceso en línea:
http://hdl.handle.net/1992/45178
Palabra clave:
Cambio exterior
Sistema financiero
Aprendizaje automático (Inteligencia artificial)
Economía
Rights
openAccess
License
http://creativecommons.org/licenses/by-nc-nd/4.0/
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spelling Al consultar y hacer uso de este recurso, está aceptando las condiciones de uso establecidas por los autores.http://creativecommons.org/licenses/by-nc-nd/4.0/info:eu-repo/semantics/openAccesshttp://purl.org/coar/access_right/c_abf2Pérez Reyna, David Alejandrovirtual::4654-1Duque Marulanda, Miguel3c8b55a0-9ad1-49bc-a84b-6aa2fe25ae195002020-09-03T15:51:46Z2020-09-03T15:51:46Z2019http://hdl.handle.net/1992/45178u827103.pdfinstname:Universidad de los Andesreponame:Repositorio Institucional Sénecarepourl:https://repositorio.uniandes.edu.co/Market micro-structure variables provide a novel approach to foreign exchange price determination. More precisely, the order flow has been recognised in literature as a main driver of short-term price dynamics in foreign exchange markets. I present an Artificial Neural Network to improve the estimation of order flow as an "aggreagtor" of private information. The result yields a significant improvement into a Vector Autoregression model prediction, in terms of the chosen metric, that could imply an empirical backing to the order flow as an "aggregator" of private information theory.Las variables de la micro-estructura financiera del mercado proveen una innovadora aproximación al proceso de determinación de precios en los mercados cambiarios. Más precisamente, el flujo de órdenes ha sido reconocido en la literatura como un componente principal de las dinámicas cambiarias de corto plazo. En este documento presento una Red Neuronal Artificial para mejorar la estimación del flujo de órdenes como un 'agregador' de información privada. Este resultado arroja una mejora significativa a a las predicciones de un modelo de Vectores Autorregresivos, en términos de la métrica utilizada, que podría implicar un fundamento empírico a la teoría del flujo de órdenes como un 'agregador' de información privada.EconomistaPregrado20 hojasapplication/pdfengUniversidad de los AndesEconomíaFacultad de Economíainstname:Universidad de los Andesreponame:Repositorio Institucional SénecaArtificial neural networks and foreign exchange : a financial micro-structure approachTrabajo de grado - Pregradoinfo:eu-repo/semantics/bachelorThesishttp://purl.org/coar/resource_type/c_7a1fhttp://purl.org/coar/version/c_970fb48d4fbd8a85Texthttp://purl.org/redcol/resource_type/TPCambio exteriorSistema financieroAprendizaje automático (Inteligencia artificial)EconomíaPublicationhttps://scholar.google.es/citations?user=obmF0pYAAAAJvirtual::4654-10000-0001-6151-6631virtual::4654-1https://scienti.minciencias.gov.co/cvlac/visualizador/generarCurriculoCv.do?cod_rh=0000052012virtual::4654-181dc7308-eddf-42f0-b3d1-b965b84c704evirtual::4654-181dc7308-eddf-42f0-b3d1-b965b84c704evirtual::4654-1ORIGINALu827103.pdfapplication/pdf446721https://repositorio.uniandes.edu.co/bitstreams/f3ea9d1b-ee51-4ce4-b95f-054e294bbd10/download689cf33fdfe05a1950fac8878985dd00MD51TEXTu827103.pdf.txtu827103.pdf.txtExtracted texttext/plain34322https://repositorio.uniandes.edu.co/bitstreams/45e06679-c1e6-467c-baa1-3118c7b2d259/download13886fe745fdcc0b569310619d654aecMD54THUMBNAILu827103.pdf.jpgu827103.pdf.jpgIM Thumbnailimage/jpeg20310https://repositorio.uniandes.edu.co/bitstreams/87d1cc05-dbc9-4ceb-b408-df5cca30757e/downloadfa9516fd79378a9e8fed0cf4ccd81fc1MD551992/45178oai:repositorio.uniandes.edu.co:1992/451782024-03-13 12:44:33.317http://creativecommons.org/licenses/by-nc-nd/4.0/open.accesshttps://repositorio.uniandes.edu.coRepositorio institucional Sénecaadminrepositorio@uniandes.edu.co
dc.title.es_CO.fl_str_mv Artificial neural networks and foreign exchange : a financial micro-structure approach
title Artificial neural networks and foreign exchange : a financial micro-structure approach
spellingShingle Artificial neural networks and foreign exchange : a financial micro-structure approach
Cambio exterior
Sistema financiero
Aprendizaje automático (Inteligencia artificial)
Economía
title_short Artificial neural networks and foreign exchange : a financial micro-structure approach
title_full Artificial neural networks and foreign exchange : a financial micro-structure approach
title_fullStr Artificial neural networks and foreign exchange : a financial micro-structure approach
title_full_unstemmed Artificial neural networks and foreign exchange : a financial micro-structure approach
title_sort Artificial neural networks and foreign exchange : a financial micro-structure approach
dc.creator.fl_str_mv Duque Marulanda, Miguel
dc.contributor.advisor.none.fl_str_mv Pérez Reyna, David Alejandro
dc.contributor.author.none.fl_str_mv Duque Marulanda, Miguel
dc.subject.armarc.es_CO.fl_str_mv Cambio exterior
Sistema financiero
Aprendizaje automático (Inteligencia artificial)
topic Cambio exterior
Sistema financiero
Aprendizaje automático (Inteligencia artificial)
Economía
dc.subject.themes.none.fl_str_mv Economía
description Market micro-structure variables provide a novel approach to foreign exchange price determination. More precisely, the order flow has been recognised in literature as a main driver of short-term price dynamics in foreign exchange markets. I present an Artificial Neural Network to improve the estimation of order flow as an "aggreagtor" of private information. The result yields a significant improvement into a Vector Autoregression model prediction, in terms of the chosen metric, that could imply an empirical backing to the order flow as an "aggregator" of private information theory.
publishDate 2019
dc.date.issued.none.fl_str_mv 2019
dc.date.accessioned.none.fl_str_mv 2020-09-03T15:51:46Z
dc.date.available.none.fl_str_mv 2020-09-03T15:51:46Z
dc.type.spa.fl_str_mv Trabajo de grado - Pregrado
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identifier_str_mv u827103.pdf
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dc.language.iso.es_CO.fl_str_mv eng
language eng
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dc.format.extent.es_CO.fl_str_mv 20 hojas
dc.format.mimetype.es_CO.fl_str_mv application/pdf
dc.publisher.es_CO.fl_str_mv Universidad de los Andes
dc.publisher.program.es_CO.fl_str_mv Economía
dc.publisher.faculty.es_CO.fl_str_mv Facultad de Economía
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