FOREX rate prediction improved by Elliott waves patterns based on neural networks

Periodicity, Elliott waves, and fractals in the NFT market

Non-fungible tokens (NFTs) are unique digital assets that exist on a blockchain and have provided new revenue streams for creators. This research investigates NFT market inefficiencies to identify claimed cyclic behavior and cryptocurrency influences on NFT prices. The research found that while linear models are not useful in modeling NFT price series, models that extract periodic behavior can provide explanations and predictions of price behavior. The investigation of autocycles in cryptocurrency and NFT markets did not support the existence of Elliott Wave behavior in any of these blockchain enabled assets. Rather NFT price behavior is strongly tied to the underlying asset and its community of fans. These fans commit to periodic bouts of idiosyncratic trading which cools for a while, and then restarts. The research found no evidence supporting whole market effects across the full price series of individual NFTs. The research strongly supports prior findings that the offsetting movements significantly influence NFT prices and trading volume in Bitcoin and Ether. The research found NFT markets exhibit characteristics resembling a social media platform rather than more traditional asset markets like stock exchanges. It found that traditional linear econometric models cannot predict or explain NFT price series, only that NFT price and volume were weakly correlated. Fractal models consistent with Elliott wave theory do explain some of NFT price behavior, but are not consistent or stable over time. This research confirmed prior research findings that Bitcoin and Ether price movements are correlated with general NFT price and volume series in periods of between 24 and 48 h, with significant numbers of trades into and out of cryptocurrencies at 2 and 8 h.

Modeling limit order trading with a continuous action policy for deep reinforcement learning

Limit Orders allow buyers and sellers to set a "limit price" they are willing to accept in a trade. On the other hand, market orders allow for immediate execution at any price. Thus, market orders are susceptible to slippage, which is the additional cost incurred due to the unfavorable execution of a trade order. As a result, limit orders are often preferred, since they protect traders from excessive slippage costs due to larger than expected price fluctuations. Despite the price guarantees of limit orders, they are more complex compared to market orders. Orders with overly optimistic limit prices might never be executed, which increases the risk of employing limit orders in Machine Learning (ML)-based trading systems. Indeed, the current ML literature for trading almost exclusively relies on market orders. To overcome this limitation, a Deep Reinforcement Learning (DRL) approach is proposed to model trading agents that use limit orders. The proposed method (a) uses a framework that employs a continuous probability distribution to model limit prices, while (b) provides the ability to place market orders when the risk of no execution is more significant than the cost of slippage. Extensive experiments are conducted with multiple currency pairs, using hourly price intervals, validating the effectiveness of the proposed method and paving the way for introducing limit order modeling in DRL-based trading.

Long short-term memory with activation on gradient

As the number of long short-term memory (LSTM) layers increases, vanishing/exploding gradient problems exacerbate and have a negative impact on the performance of the LSTM. In addition, the ill-conditioned problem occurs in the training process of LSTM and adversely affects its convergence. In this work, a simple and effective method of the gradient activation is applied to the LSTM, while empirical criteria for choosing gradient activation hyperparameters are found. Activating the gradient refers to modifying the gradient with a specific function named the gradient activation function. Moreover, different activation functions and different gradient operations are compared to prove that the gradient activation is effective on LSTM. Furthermore, comparative experiments are conducted, and their results show that the gradient activation alleviates the above problems and accelerates the convergence of the LSTM. The source code is publicly available at https://github.com/LongJin-lab/ACT-In-NLP.

DAFA-BiLSTM: Deep Autoregression Feature Augmented Bidirectional LSTM network for time series prediction

Time series forecasting models that use the past information of exogenous or endogenous sequences to forecast future series play an important role in the real world because most real-world time series datasets are rich in time-dependent information. Most conventional prediction models for time series datasets are time-consuming and fraught with complex limitations because they usually fail to adequately exploit the latent spatial dependence between pairs of variables. As a successful variant of recurrent neural networks, the long short-term memory network (LSTM) has been demonstrated to have stronger nonlinear dynamics to store sequential data than traditional machine learning models. Nevertheless, the common shallow LSTM architecture has limited capacity to fully extract the transient characteristics of long interval sequential datasets. In this study, a novel deep autoregression feature augmented bidirectional LSTM network (DAFA-BiLSTM) is proposed as a new deep BiLSTM architecture for time series prediction. Initially, the input vectors are fed into a vector autoregression (VA) transformation module to represent the time-delayed linear and nonlinear properties of the input signals in an unsupervised way. Then, the learned nonlinear combination vectors of VA are progressively fed into different layers of BiLSTM and the output of the previous BiLSTM module is also concatenated with the time-delayed linear vectors of the VA as an augmented feature to form new additional input signals for the next adjacent BiLSTM layer. Extensive real-world time series applications are addressed to demonstrate the superiority and robustness of the proposed DAFA-BiLSTM. Comparative experimental results and statistical analysis show that the proposed DAFA-BiLSTM has good adaptive performance as well as robustness even in noisy environment.