Deep Learning based Currency Exchange Volatility Classifier for Best Trading Time Recommendation.

This paper presents a deep artificial neural network approach based currency market volatility based recommendation engine. Since deep learning classification needs labeled data set that we don't have, an approach is designed specially for that point in order to generate labeled data set from non labeled one. This is a major innovative aspect in this contribution in addition to the recommendation service. It is based on Gaussian kernel density and Monte Carlo simulation. The main goal of the proposed approach is to predict - for each hour of the day - the volatility behaviour of the selected currency pair. The proposed model has a range of applications in financial market specially the algorithmic trading. Deep neural network was trained and evaluated and testing process gave good convergence rate. [ABSTRACT FROM AUTHOR]