Predicting Intraday Price Movements in the Foreign Exchange Market
نویسندگان
چکیده
It is commonly assumed that short-term price movements follow a random walk and cannot be predicted. However, in this project we predict next-second price movements in the euro-dollar foreign exchange market by using depth as a feature. We show that if there is a sufficient imbalance in depth, an accurate prediction can be made. Further, we train and test a Markov Model to demonstrate that this predictive potential can overcome transaction costs to be profitable.
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