Developing an Intelligent Forex Rolling Forecasting and Trading Decision Support System I: Conceptual Framework, Modeling Techniques and System Implementations

Part of the International Series in Operations Research & Management Science book series (ISOR, volume 107)

Decision support system (DSS) is a powerful tool which can be used to support decision makers in making strategic decisions (Quah et al., 1996). One key objective of DSS is to improve management judgment (Kean and Morton, 1978). From the viewpoint of management, all forecasts are considered as a prerequisite for effective decisions that are based upon planning (Armstrong, 1983). Effective foreign exchange (forex) trading decision is usually dependent upon effective forex forecasting. Tsoi et al. (1993) have shown that forex forecasting on direction is more important than the actual forecast itself in terms of determining the profitability of a forecasting and trading system. A more comprehensive survey on forex forecasting can refer to Yu et al. (2005e, Huang et al., 2004a, 2006) for more details. Financial market (e.g., stock market or foreign exchange market) is a rather complicated environment. Traders must predict market price movements in order to sell at high points and to buy at low points. Therefore, forecasting often plays an important role in the process of decision-making in financial market.

The reminder of this chapter is organized as follows. Section 14.2 describes the general framework architecture and main functions of the advanced intelligent system. Modeling approach and quantitative measurements used in the system are presented in Section 14.3. Subsequently, the development, implementation and operation of the intelligent system are discussed in Section 14.4. Section 14.5 concludes this chapter.


Mean Square Error Hide Node Trading Strategy Foreign Exchange Market Forecast Result 


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© Springer Science+Business Media, LLC 2007

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