Artificial Neural Networks (ANN), Support Vector Machines (SVM) and Relevance Vector Machines (RVM) were used to predict daily returns for an FX carry basket. Market observable exogenous variables known to have a relationship with the basket along with lags of the basket's return were used as...

Financially motivated kernels based on EURUSD currency data are constructed from limit order book volumes, commonly used technical analysis methods and canonical market microstructure models—the latter in the form of Fisher kernels. These kernels are used through their incorporation into...

Multiple Kernel Learning (MKL) is used to replicate the signal combination process that trading rules embody when they aggregate multiple sources of financial information when predicting an asset's price movements. A set of financially motivated kernels is constructed for the EURUSD currency...