Investment support system using the EVOLINO recurrent neural network ensemble

Abstract

The chaotic and largely unpredictable conditions that prevail in exchange markets are of considerable interest to speculators because of the potential for profit. The creation and development of a support system using artificial intelligence algorithms provides new opportunities for investors in financial markets. Therefore, the authors have developed a support system that processes hist orical data, makes predictions using an ensemble of EVOLINO recurrent neural networks, assesses these predictions using a composition of high-low distributions, selects an orthogonal investment portfolio, and verifies the outcome on the real market. The support system requires multi-core hardware resources to allow for timely data processing using an MPI library-based parallel computation approach. A comparison of daily and weekly predictions reveals that weekly forecasts are less accurate than daily predictions, but are still accurate enough to trade successfully on the currency markets. Information obtained from the support system gives investors an advantage over uninformed market players in making investment decisions.