Forecasting and Analysis of EUR/USD Exchange Rate Moving Direction with Support Vector Machine

The daily changes in exchange rates are affected by a great number of factors, most of which are quite complicated. Exchange rate plays a key role in the financial market, and it is more difficult to predict the future trend. Therefore, it is quite a difficult task to get an more precise forecast value. Foreign exchange data is a typical time series. First, we uses wavelet analysis to denoise the exchange rate sequence; Then the SVM is used to analysis the historical data to forecast the move direction of EUR/USD. For this model we developed a set of new technical indicators as part of the training features. Finally, based on the forecast results, we infer future move direction by strategic adjustment, making the result more accurate.