jokyv / finalproject

Final Project for GE

FinalProject

Final Project for GA

Forecast Volatility for EURUSD (most tradable currency pair) for the following timeframes (time in UTC):

• 1day timeframe
• 1hour timeframe (to be continued)

Time Serires - Regression problem. The input shape will be 1 time step.

1. DATA + ARIMA.ipynb

• Present Date and demonstrate ARIMA model
• ARIMA Disadvatages (needs: complete data, linear relationship, univariate data)
• Results

2. Univariate LSTM and Tuning Parameters.ipynb

• Univariate LTSM model demonstration
• Tune parameters (Epoch, batch sizes, neurons, add 1 more layer)
• Compare RMSE

3. Multivariate LSTM.ipynb

• Use the optimised univariate LSTM model and add more features
• Compare results with the optimised Univariate LSTM model

Features:

• EURUSD past volatility
• EURUSD volume
• USDJPY past volatility
• USDJPY volume

Economic Figures

• EUIR: Interest Rate EUR

• EUCONF: ECB conference

• USIR: Interest Rate USD

• FEDCONF: FED conference

• USGDP: GDP USD

• EUGDP: GDP EUR

• USCPI: CPI USD

• EUCPI: CPI EUR

• NFP: NFP

• EUUR: Unemployment rate EUR

• USR: retail Sales

• USCC: US consumer confidence

• USADP: US ADP Employment Change

• USISM: US ISM Manufactiring PMI

• GPMI: German manufacturing PMI

• GZEW: German ZEW Economic Sentiment

• GIFO: German IFO Business Climate Index

• GUC: German Unemployment Rate / Employment Change