Hokohoko: A comprehensive framework for evaluating artificial intelligence-based and statistical techniques for foreign exchange speculation

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dc.contributor.advisorMayo, Michael
dc.contributor.advisorPatros, Panos
dc.contributor.authorBradley, Neil Christopher
dc.date.accessioned2020-08-25T00:45:53Z
dc.date.available2020-08-25T00:45:53Z
dc.date.issued2020
dc.date.updated2020-08-20T04:40:37Z
dc.description.abstractThis thesis investigates the measurement of predictor performance as applied to foreign exchange speculation. It outlines the development of key ideas and techniques over the course of the last 120 years, and examines the datasets and metrics used within a representative sample of the academic corpus. In this examination two problems are identified: first, there is a lack of consistency in the datasets used to test researchers’ algorithms; and second, a large variety of metrics are used, most of which are either inappropriate for or inappropriately applied to FOREX speculation. To address these issues, this thesis presents two solutions: a Python library, Hokohoko, which provides a consistent dataset and interface for testing FOREX prediction algorithms; and a new metric, Speculative Accuracy, which it argues provides a more appropriate measure of usefulness with regards to speculation. Hokohoko is then used to test a series of hypotheses regarding the usefulness of various metrics, alongside Speculative Accuracy.
dc.format.mimetypeapplication/pdf
dc.identifier.citationBradley, N. C. (2020). Hokohoko: A comprehensive framework for evaluating artificial intelligence-based and statistical techniques for foreign exchange speculation (Thesis, Master of Science (Research) (MSc(Research))). The University of Waikato, Hamilton, New Zealand. Retrieved from https://hdl.handle.net/10289/13752en
dc.identifier.urihttps://hdl.handle.net/10289/13752
dc.language.isoen
dc.publisherThe University of Waikato
dc.rightsAll items in Research Commons are provided for private study and research purposes and are protected by copyright with all rights reserved unless otherwise indicated.
dc.subjectMachine learning
dc.subjectArtificial Intelligence
dc.subjectHokohoko
dc.subjectBenchmarking
dc.subjectPython
dc.subjectForeign Exchange
dc.subjectSpeculation
dc.subjectFOREX
dc.subjectChaos Theory
dc.subjectSpeculative Accuracy
dc.titleHokohoko: A comprehensive framework for evaluating artificial intelligence-based and statistical techniques for foreign exchange speculation
dc.typeThesis
pubs.place-of-publicationHamilton, New Zealanden_NZ
thesis.degree.grantorThe University of Waikato
thesis.degree.levelMasters
thesis.degree.nameMaster of Science (Research) (MSc(Research))
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