Framework for algorithm development in foreign exchange trading

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Dr. Szikora Béla
Department of Electronics Technology

Nowadays about 40\% of the stock market transactions are made by various algorithms.

The development and testing of these algorithms is achieved with other software utilities. The goal of this thesis is to demonstrate the design and implementation of such a framework and give examples of its proper usage.

The first part of the paper is an introduction into the financial basics of foreign exchange \emph{(forex)} markets, with regard to its short history. I will also present three well-known macroeconomic models that give an explanation to the variation of the exchange rates and examinate their forecast ability in the context of actual trading.

The next section is about technical analysis and its behavioral background in a nutshell.

The usage of indicators, the formation of trends and different patterns will be also covered here, with a little introduction into the cyclical patterns of the market behaviour.

The upcoming chapter deals with the framework design and contains the architectural considerations with regard to its usage in the future. The review of the modules and external libraries is also done here.

The last section is about creating algorithms and models with the usage of the framework with strong emphases various forecasting methods with their shortcomings and peculiarities.


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