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- W4297496182 abstract "Traders and investors in FOREX use past values to forecast future values where the use of soft computing algorithms is essential. In this path, new linear regression models for interval-valued data (IVD) adapted to interval-valued time series (ITS), or candlestick charts, such as the alpha-[B] model, can help. This is an interval linear regression model based on interval arithmetic with dependent and independent interval-valued variables (IVV) and two parameters, a real number α and an interval [B]. It has been developed for two generic IVV but an open issue is to adapt this model to an autoregressive dynamic (ARD) framework for two consecutive periods. This paper addresses this issue with daily IVD of the seven majors (AUD/USD, EUR/USD, GBP/USD, NZD/USD, USD/CAD, USD/CHF, USD/JPY) in 2010–2021 and some accuracy metrics. An analysis of the alpha estimates is included when using a sliding window of ten until 240 days. Consequently, several rankings for the majors are shown. As a new key research result in FOREX, the alpha-[B]-ARD model is strongly recommended for trading the USD/CHF, USD/CAD, and EUR/USD. Hence, the use of this model provides a key competitive advantage for banks, multinational companies, and organizations. Further research issues are suggested, including extensions of this methodology to stock markets and econophysics." @default.
- W4297496182 created "2022-09-29" @default.
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- W4297496182 date "2022-12-01" @default.
- W4297496182 modified "2023-10-02" @default.
- W4297496182 title "Forecasting in FOREX the spot price interval of tomorrow with the same information of today. An analysis of the seven majors using a linear regression model based on interval arithmetic" @default.
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- W4297496182 doi "https://doi.org/10.1016/j.knosys.2022.109923" @default.
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