Bormpotsis, C.; Sedky, M.; Patel, A. Predicting Forex Currency Fluctuations Using a Novel Bio-Inspired Modular Neural Network. Big Data Cogn. Comput.2023, 7, 152.
Bormpotsis, C.; Sedky, M.; Patel, A. Predicting Forex Currency Fluctuations Using a Novel Bio-Inspired Modular Neural Network. Big Data Cogn. Comput. 2023, 7, 152.
Bormpotsis, C.; Sedky, M.; Patel, A. Predicting Forex Currency Fluctuations Using a Novel Bio-Inspired Modular Neural Network. Big Data Cogn. Comput.2023, 7, 152.
Bormpotsis, C.; Sedky, M.; Patel, A. Predicting Forex Currency Fluctuations Using a Novel Bio-Inspired Modular Neural Network. Big Data Cogn. Comput. 2023, 7, 152.
Abstract
Convolutional Neural Networks (CNNs) and Recurrent Neural Networks (RNNs) have been utilised to forecast the foreign exchange market (Forex). However, such models usually exhibit unstable behaviour, as data perturbations often downgrade the functionality of the entire network due to their monolithic architecture. Hence, this study proposes a novel neuroscience-informed modular network applied to the closing prices and the sentiments retrieved from Yahoo Finance and Twitter APIs, aiming to anticipate better price fluctuations in Euro to British Pound Sterling (EUR/GBP) rather than monolithic methods. The proposed model is based on a new modular CNN, replacing pooling layers with orthogonal kernel initialisation RNNs coupled with Monte Carlo Dropout (MCD), namely MCoRNNMCD. It combines two modules: i) a convolutional simple RNN and ii) a convolutional Gated Recurrent Unit (GRU), where orthogonality and MCD are added to reduce the overfitting, assessing each module's uncertainty. These parallel feature extraction modules concatenate their outputs to a final three-layer Artificial Neural Network (ANN) decision-making module. A comprehensive comparison viewing objective evaluation metrics such as the Mean Square Error (MSE) proved that the proposed MCoRNNMCD-ANN outperformed single CNN, LSTM, GRU, and the state-of-the-art hybrid BiCuDNNLSTM, CLSTM, CNN-LSTM, and LSTM-GRU in forecasting hourly EUR/GBP closing price fluctuations.
Computer Science and Mathematics, Computer Science
Copyright:
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