Soulas Eleftherios, Shasha Dennis. Online Machine Learning Algorithms For Currency Exchange Prediction

Unpublished, 2013. — 84 p.Using Machine Learning Algorithms to analyze and predict security price patterns is an area of active interest. Most practical stock traders combine computational tools with their intuitions and knowledge to make decisions.
This technical report describes methods for two problems:How to find highly correlated pairs of securities over the last recent time period (e.g. over the last hour) in a sliding window fashion. The base model used for this is Statstream.How to predict foreign exchange rate changes in an online fashion, updated over time.This document explains the algorithms and discusses various metrics of accuracy. It validates the models by applying the model to a real-life trading price stream. Though it is very hard to replace the expertise of an experienced trader, software like this may enhance the trader's performance.