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Forex-foreteller: A News Based Currency PredictorFang Jin (fang8), Nathan Self (nwself), Parang Saraf (parang), Patrick Butler (pabutler), Wei Wang (tskatom) & Naren Ramakrishnan (naren)Department of Computer Science, Virginia Tech Email: pid@cs.vt.edu
Introduction - Foreign Exchange Market
• Most liquid financial market in the world
• Average daily turnover was USD 3.98 trillion in April 2010• Growth of approximately 20% as compared to 2007• United States GDP is around USD 16.62 trillion
• Operates 24 hours a day except on weekends
• Geographically Dispersed
• Traders include large banks, central banks, institutional investors, currency speculators, corporations, governments and retail investors
• A variety of factors effect exchange rate:• Economic Factors• Political Conditions• Market Psychology
Related Work
• Fundamental Analysis• Analyses economic health of a country• Employment Reports• Inflation• Productivity• Trade• Growth
• Technical Analysis• Mathematical Techniques like VAR, ARCH, GARCH etc• Based on Past Trends of financial indicators
• Can’t rely on just one type. Have to use a combination of both the techniques
Our Approach
Bloomberg News
Interest Rates
Inflation Unanticipated News Past Currency Values Past Stock Values
Linear Regression Model
Final Prediction
Fundamental Technical
System Framework
Language Modeling
Different Types of News
Latent Dirichlet Allocation Model to identify different topics
Top 30 topics are Identified
Out of 30 topics, manually identify topics of Interest
List of Interesting topics
Topic Clustering
Identify trending topics by tracking topic distribution movement over time
Sentiment Analysis
Sentiment Analysis
Interest Rate Increase/Decrease
Inflation Increase/Decrease
Unanticipated News
Linear Regression
Interest Rates
Inflation Unanticipated News Past Currency Values Past Stock Values
Linear Regression ModelFinal Prediction
Where:•Δc is currency change•Δr is interest rate change•Δf is interest rate change
• Δs is currency change• Δe is currency change• βr, βf, βs, βe are respective weights
Off-line Components
Online Components
Displays the generated alerts and associated Audit trails for user analysis
EMBERS Visualizer
Link: http://embers.cs.vt.edu/embers/alerts/visualizer_fin?layout=grid
Other EMBERS Products
Civil Unrest Predictor Influenza Like Illness Predictor
Rare Diseases Predictor Ablation Visualizer
Link: http://embers.cs.vt.edu/embers/alerts/visualizer_fin?layout=grid
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