021-20

第21回研究会

一般顧客の集合知による外国為替交換レート予測†

著者†

矢野和洞, 鈴木丈裕(茨城大学), 鈴木智也(茨城大学, コラボウィズ株式会社)

概要†

Foreign-exchange trading (FX) is well known as an asset management method like stock investment. Individual traders basically send their orders to an FX broker, and the FX broker executes cover transactions with global megabanks to prevent the price-fluctuation risk. If it is possible to foresee the future price movement, FX brokers can make their cover transactions more efficient. Fortunately, FX brokers can see the trading positions of their customers. If each customer has a little predictive power, the aggregation of all customers’ positions might improve the predictive power in terms of the wisdom of crowds. From this viewpoint, we tried to extract the collective intelligence from all customers and applied it to improve cover transactions. As a result, our idea worked well to make FX brokerage business less risky and more profitable.

キーワード†

Foreign-Exchange market, Cover transaction, Wisdom of crowds, Business intelligence

論文†

SIG-FIN-021-20.pdf