Analyzing predictive performance of linear models on high-frequency currency exchange rates

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Analyzing predictive performance of linear models on high-frequency currency exchange rates

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We generate a large number of predictive models by applying linear kernel SVR to historical currency rates’ bid data for three currency pairs obtained from high-frequency trading. The bid tick data are converted into equally spaced (1 min) data. Differences of price between the previous successive timeframes are used as features to predict the direction of movement of the price in the next timeframe.

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