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Feature importance recap and stacking models for forex price prediction

Author

Listed:
  • Yunze Li
  • Yanan Xie
  • Chen Yu
  • Fangxing Yu
  • Bo Jiang
  • Matloob Khushi

Abstract

Forex trading is the largest market in terms of qutantitative trading. Traditionally, traders refer to technical analysis based on the historical data to make decisions and trade. With the development of artificial intelligent, deep learning plays a more and more important role in forex forecasting. How to use deep learning models to predict future price is the primary purpose of most researchers. Such prediction not only helps investors and traders make decisions, but also can be used for auto-trading system. In this article, we have proposed a novel approach of feature selection called 'feature importance recap' which combines the feature importance score from tree-based model with the performance of deep learning model. A stacking model is also developed to further improve the performance. Our results shows that proper feature selection approach could significantly improve the model performance, and for financial data, some features have high importance score in many models. The results of stacking model indicate that combining the predictions of some models and feed into a neural network can further improve the performance.

Suggested Citation

  • Yunze Li & Yanan Xie & Chen Yu & Fangxing Yu & Bo Jiang & Matloob Khushi, 2021. "Feature importance recap and stacking models for forex price prediction," Papers 2107.14092, arXiv.org.
    • Handle: RePEc:arx:papers:2107.14092
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    References listed on IDEAS

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    1. Deniz Can Yıldırım & Ismail Hakkı Toroslu & Ugo Fiore, 2021. "Forecasting directional movement of Forex data using LSTM with technical and macroeconomic indicators," Financial Innovation, Springer;Southwestern University of Finance and Economics, vol. 7(1), pages 1-36, December.
    2. Mukul Jaggi & Priyanka Mandal & Shreya Narang & Usman Naseem & Matloob Khushi, 2021. "Text Mining of Stocktwits Data for Predicting Stock Prices," Papers 2103.16388, arXiv.org.
    3. Tae Wan Kim & Matloob Khushi, 2020. "Portfolio Optimization with 2D Relative-Attentional Gated Transformer," Papers 2101.03138, arXiv.org.
    4. Adam Kritzer, 2012. "Forex for Beginners," Springer Books, Springer, number 978-1-4302-4051-8, June.
    5. Jaideep Singh & Matloob Khushi, 2021. "Feature Learning for Stock Price Prediction Shows a Significant Role of Analyst Rating," Papers 2103.09106, arXiv.org.
    6. Zezheng Zhang & Matloob Khushi, 2020. "GA-MSSR: Genetic Algorithm Maximizing Sharpe and Sterling Ratio Method for RoboTrading," Papers 2008.09471, arXiv.org.
    7. Zexin Hu & Yiqi Zhao & Matloob Khushi, 2021. "A Survey of Forex and Stock Price Prediction Using Deep Learning," Papers 2103.09750, arXiv.org.
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