Prediction of foreign currency exchange rates using an attention-based long short-term memory network
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.
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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Full frame distilled prediction
Teacher imitationNot 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.
Codex and Gemma teacher scores by category
| Category | Codex | Gemma |
|---|---|---|
| Metaresearch | 0.004 | 0.001 |
| Meta-epidemiology (narrow) | 0.000 | 0.000 |
| Meta-epidemiology (broad) | 0.000 | 0.000 |
| Bibliometrics | 0.000 | 0.002 |
| Science and technology studies | 0.001 | 0.000 |
| Scholarly communication | 0.000 | 0.000 |
| Open science | 0.001 | 0.000 |
| Research integrity | 0.000 | 0.000 |
| Insufficient payload (model declined to judge) | 0.000 | 0.000 |
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.
score_only:v0-immature-baseline · verbatim from the scoring run: score_only means the number may rank works, and no category label ships from it