Sermpinis, Georgios; Stasinakis, Charalampos; Dunis, … - In: Journal of International Financial Markets, … 30 (2014) C, pp. 21-54
The motivation of this paper is 3-fold. Firstly, we apply a Multi-Layer Perceptron (MLP), a Recurrent Neural Network (RNN) and a Psi-Sigma Network (PSN) architecture in a forecasting and trading exercise on the EUR/USD, EUR/GBP and EUR/CHF exchange rates and explore the utility of Kalman Filter,...
