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A Combination of Regression Techniques and Cuckoo Search Algorithm for FOREX Speculation

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Recent Advances in Information Systems and Technologies (WorldCIST 2017)

Part of the book series: Advances in Intelligent Systems and Computing ((AISC,volume 569))

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Abstract

This paper describes a hybrid model formed by a mixture of regression techniques and Cuckoo Search algorithm to speculate USD/EUR variations. Inspired by ARMA model we propose a dataset composed of historical data of USD/EUR and (JYN, EUR and BRP) variations. The dataset is used to train four regression algorithms: Multiple linear regression, Support vector regression, Partial Least Squares regression and CRT regression tree; the generated regression weights of these algorithms will be used as inputs to Cuckoo Search algorithm. The effectiveness of the proposed system against classical regression algorithms is confirmed by experiments on exchange rate prediction within the period from January 2014 to January 2016.

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Author information

Authors and Affiliations

  1. ENSIAS, Mohammed V University of Rabat, Rabat, Morocco

    Said Achchab & Omar Bencharef

  2. Higher School of Technology, Essaouira, Cadi Ayyad Universit, Marrakesh, Morocco

    Omar Bencharef & Aziz Ouaarab

  3. LRIT, CNRST (URAC 29), Mohammed V University of Rabat, Rabat, Morocco

    Aziz Ouaarab

Authors
  1. Said Achchab
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  2. Omar Bencharef
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  3. Aziz Ouaarab
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Corresponding author

Correspondence to Omar Bencharef .

Editor information

Editors and Affiliations

  1. DEI/FCT, Universidade de Coimbra, Coimbra, Baixo Mondego, Portugal

    Álvaro Rocha

  2. Nova IMS, Universidade Nova de Lisboa, Lisboa, Portugal

    Ana Maria Correia

  3. College of Engineering, The Ohio State University, Columbus, Ohio, USA

    Hojjat Adeli

  4. DSI/EEUM, Universidade do Minho, Guimarães, Portugal

    Luís Paulo Reis

  5. DIMES, Università della Calabria, Arcavacata di Rende, Italy

    Sandra Costanzo

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Achchab, S., Bencharef, O., Ouaarab, A. (2017). A Combination of Regression Techniques and Cuckoo Search Algorithm for FOREX Speculation. In: Rocha, Á., Correia, A., Adeli, H., Reis, L., Costanzo, S. (eds) Recent Advances in Information Systems and Technologies. WorldCIST 2017. Advances in Intelligent Systems and Computing, vol 569. Springer, Cham. https://doi.org/10.1007/978-3-319-56535-4_23

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  • DOI: https://doi.org/10.1007/978-3-319-56535-4_23

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  • Publisher Name: Springer, Cham

  • Print ISBN: 978-3-319-56534-7

  • Online ISBN: 978-3-319-56535-4

  • eBook Packages: EngineeringEngineering (R0)

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