Prediction of foreign currency exchange rates using an attention-based long short-term memory network
Bibliographic record
Abstract
We propose an a ttention-based L STM model for predicting f orex r a tes (ALFA). The prediction process consists of three stages. First, an LSTM model captures temporal dependencies within the forex time series . Next, an attention mechanism assigns different weights (importance scores) to the features of the LSTM model’s output. Finally, a fully connected layer generates predictions of forex rates. We conducted comprehensive experiments to evaluate and compare the performance of ALFA against several models used in previous work and against state-of-the-art deep learning models such as temporal convolutional networks (TCN) and Transformer. Experimental results show that ALFA outperforms the baseline models in most cases, across different currency pairs and feature sets, thanks to its attention mechanism that filters out irrelevant or redundant data to focus on important features. ALFA consistently ranks among the top three of the seven models evaluated and ranks first in most cases. We validated the effectiveness of ALFA by applying it to actual trading scenarios using several currency pairs. In these evaluations, ALFA achieves estimated annual return rates comparable to those of professional traders.
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How this classification was reachedexpand
Full frame machine prediction
Teacher imitationNot calibrated prevalence, not ground truth. Human validation pending. The Gemma side is a direct model label for every work in the frame, read from the title-only record. The Codex side is a classifier learned from the 10,348 direct Codex labels and calibrated to design-weighted sample rates; fields without enough sample support carry no Codex call. Candidate is the union of the two sides; consensus is their intersection. These outputs are machine_predicted_unvalidated and are not human labels.
Distilled classifier scores by category (both heads)
| Category | Codex | Gemma |
|---|---|---|
| Metaresearch | 0.001 | 0.002 |
| Meta-epidemiology (narrow) | 0.001 | 0.000 |
| Meta-epidemiology (broad) | 0.001 | 0.001 |
| Bibliometrics | 0.001 | 0.001 |
| Science and technology studies | 0.000 | 0.000 |
| Scholarly communication | 0.001 | 0.001 |
| Open science | 0.001 | 0.001 |
| Research integrity | 0.001 | 0.001 |
| Insufficient payload (model declined to judge) | 0.002 | 0.001 |
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.
score_only:v0-immature-baseline · verbatim from the scoring run: score_only means the number may rank works, and no category label ships from itClassification
machine, unvalidatedMachine predicted; a candidate call from one source (direct Gemma or distilled Codex), not a consensus.
How this classification was reached, model by model and score by score, is at the end of the page under "How this classification was reached".