Tid: 4 oktober 2018 kl 10.15-11.00.

Föredragshållare: Oscar Jagermark

Titel: Predicting Short-Term Extreme Movements in FX-markets Using Neural Networks (Master thesis)

Abstract This thesis applies deep neural networks with complex feature inputs in an attempt to predict extreme price movements of up to 20 seconds in theEUR/USD exchange rate. The results show that neural networks do have predictive power in this application, and could potentially be used in con- junction with other models to predict the movements of the FX-market in a high-frequency trading environment. Results also indicate that extreme movements commonly happen in clusters, and predicting the initial jump is harder than predicting the succeeding movements.

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