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Record W4312547917 · doi:10.1016/j.procs.2022.09.216

Deep Learning based Currency Exchange Volatility Classifier for Best Trading Time Recommendation

2022· article· en· W4312547917 on OpenAlex

Why this work is in the frame

A frame that forgets how it found something cannot be audited. These are the routes that admitted this work.

affAt least one author lists a Canadian institution in the pinned OpenAlex snapshot.

Bibliographic record

VenueProcedia Computer Science · 2022
Typearticle
Languageen
FieldDecision Sciences
TopicStock Market Forecasting Methods
Canadian institutionsUniversité du Québec à Chicoutimi
Fundersnot available
KeywordsComputer scienceCurrencyDeep learningVolatility (finance)Artificial neural networkArtificial intelligenceStochastic volatilityMachine learningForeign exchange marketEconometrics

Abstract

fetched live from OpenAlex

This paper presents a deep artificial neural network approach based currency market volatility based recommendation engine. Since deep learning classification needs labeled data set that we don't have, an approach is designed specially for that point in order to generate labeled data set from non labeled one. This is a major innovative aspect in this contribution in addition to the recommendation service. It is based on Gaussian kernel density and Monte Carlo simulation. The main goal of the proposed approach is to predict - for each hour of the day - the volatility behaviour of the selected currency pair. The proposed model has a range of applications in financial market specially the algorithmic trading. Deep neural network was trained and evaluated and testing process gave good convergence rate.

Fetched live from OpenAlex and de-inverted. Abstracts are not stored in this database: the inverted indexes are 8.6 GB of the frame’s 9.3 GB of text, and the host has 13 GB free.

Full frame distilled prediction

Teacher imitation

Not calibrated prevalence, not ground truth. Human validation pending. Learned from the 10,348 direct Codex labels and 10,348 direct Gemma labels. Candidate is the union of thresholded teacher heads; consensus is their intersection. These outputs are machine_predicted_unvalidated and are not human labels or direct frontier model labels.

metaresearch head score (Codex)0.023
metaresearch head score (Gemma)0.007
Version: codex-gemma-dda1882f352aValidation status: machine_predicted_unvalidated
Candidate categoriesScience and technology studies, Insufficient payload (model declined to judge)
Consensus categoriesnone
DomainCandidate signal: none · Consensus signal: none
Study designCandidate signal: Other design · Consensus signal: none
GenreCandidate signal: Methods · Consensus signal: none
Teacher disagreement score0.988
Threshold uncertainty score0.999

Codex and Gemma teacher scores by category

CategoryCodexGemma
Metaresearch0.0230.007
Meta-epidemiology (narrow)0.0000.000
Meta-epidemiology (broad)0.0000.000
Bibliometrics0.0010.003
Science and technology studies0.0020.000
Scholarly communication0.0010.001
Open science0.0020.001
Research integrity0.0000.000
Insufficient payload (model declined to judge)0.0010.000

Machine scores (provisional)

The two teacher heads of the student model, read on this work. A score orders the frame for review; it never asserts a category, and the validation status ships verbatim with every row.

Baseline scores from an immature model (maturity gate not passed, 7 training rounds). Scores rank; they never assert a category.

Opus teacher head0.157
GPT teacher head0.397
Teacher spread0.240 · how far apart the two teachers sit on this one work
Validation statusscore_only:v0-immature-baseline · verbatim from the scoring run: score_only means the number may rank works, and no category label ships from it